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Introduction to stochastic optimal control

發布者:文明辦發布時間:2019-06-19瀏覽次數:127


主講人:周濤 中國科學院


時間:2019年6月19日13:30


地點:徐匯校區3號樓301室


舉辦單位:數理學院


內容介紹:This talk is basically an introduction to two related research topics. (i)  Stochastic Optimal Control (SOT). SOT has wide applications in computational  finance, game theory, ect. A related topic of SOT is the backward stochastic  differential equations (BSEDs). We shall highlight Chinese researchers’  contributions to BSDEs. Recent progresses on numerical methods for BSDEs and SOT  will also be discussed. (ii) Optimization Under Uncertainty (OUU). OUU is mainly  motivated by uncertainty quantification, and its application area includes shape  optimization, heat transfer in thermal conduction problems, etc. We shall  introduce some basic framework of OUU and discuss some numerical challenges.

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