Mathematical Sciences: Stochastic Control and Applications in Mathematical Economics

研究随机分析和控制，特别是 强调数理经济学和奇异问题 控制和最佳停止。 具体专题包括： (i)单代理投资组合/消费的详细研究 非常普遍的市场模型和效用函数的问题， 使用随机分析技术; (ii)平衡问题的相关处理， 经济与多个代理，其联合最优行动， 通过“清算”商品的价格来确定交易商品的价格， 市场; (iii)一种新的方法来最佳停止使用的理论 平衡半鞅及其分支的讨论 对于Skorohod的反射问题和奇异问题， 随机控制;以及 (iv)扩散过程积分泛函的研究 半鞅

Research in stochastic analysis and control, with special emphasis on mathematical economics and on problems of singular control and optimal stopping. Particular topics include: (i) a detailed study of single-agent portfolio/consumption problems with very general market models and utility functions, using techniques from stochastic analysis; (ii) the associated treatment of equilibrium problems for an economy with several agents, whose joint optimal actions determine the prices of traded commodites by "clearing" the markets; (iii) a new approach to optimal stopping using the theory of balayage semimartingales, and the discussion of its ramifications for the reflection problem of Skorohod and for singular stochastic control; and (iv) a study of integral functionals for diffusion processes and semimartingales.