Conference on Stochastic Control and Numerics; September 15-17, 2005; Milwaukee, WI

随机控制和数值会议；

• 批准号: 0531452
• 负责人: Richard Stockbridge
• 金额: $ 1.2万
• 依托单位: University of Wisconsin-Milwaukee
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2005
• 资助国家: 美国
• 起止时间: 2005-09-01 至 2006-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0531452&HistoricalAwards=false
• 关键词: Conference; Stochastic; Control; Numerics; September

The conference will focus on control theory and numerical methods for stochastic models. Speakers will discuss a variety of applications of control, such as portfolio optimization, liquidity risk, hedging strategies, option pricing, games and analysis of the US current account deficits. Theoretical results will be presented for complex models involving jump-diffusion and regime-switching diffusion processes, and interacting particles systems. Several approaches to numerical evaluation of stochastic models will be exhibited, including Monte Carlo techniques, filtering methods, steepest descent and Euler algorithms, and an extension of the Kantorovich-Lax-Richtmeyer principle for deterministic models.The conference will explore the applications of stochastic control and numerics in diverse areas such as economics, finance and operations research. The conference will comprise five one-hour presentations and fourteen thirty-minute lectures by leading experts in the areas of stochastic control and numerics. Graduate students and recent PhDs will present posters during two sessions. A panel session on "Future Directions for Numerical Methods in Stochastic Control" will highlight open problems and new trends in this field. The organizers anticipate new research collaborations to start as a result of the conference. Plans are underway to further disseminate the research results through a refereed volume.

会议将集中在控制理论和随机模型的数值方法。 演讲者将讨论控制的各种应用，如投资组合优化，流动性风险，对冲策略，期权定价，游戏和美国经常账户赤字的分析。 理论结果将提出复杂的模型，涉及跳跃扩散和政权切换扩散过程，和相互作用的粒子系统。 研讨会将展示随机模型数值计算的几种方法，包括蒙特卡罗技术、滤波方法、最速下降和欧拉算法，以及确定性模型的Kantorovich-Lax-Richtmeyer原理的扩展。会议将探讨随机控制和数值计算在经济、金融和运筹学等不同领域的应用。会议将包括五个一小时的演讲和十四个三十分钟的讲座，由随机控制和数值领域的领先专家。 研究生和最近的博士生将在两次会议期间提交海报。 关于“随机控制中数值方法的未来方向”的小组会议将突出这一领域的开放问题和新趋势。 组织者预计新的研究合作将因会议而开始。 正在计划通过一本参考书进一步传播研究成果。