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Seminario di Probabilità e Finanza Matematica: Switching diffusion systems and applications

Lunedì 9 Dicembre 2013, ore 11:30 - Sala riunioni VII piano - George Yin

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Seminario di Probabilità e Finanza Matematica

Lunedì 9 Dicembre 2013, alle ore 11:30 presso la Sala riunioni del VII piano il Prof. George Yin della Wayne State University di Detroit terrà un seminario intitolato "Switching diffusion systems and applications".

Abstract
Numerous problems in control and optimization require the treatment of systems in which continuous dynamics and discrete events coexist. The discrete component is represented by a random jump process with a finite state space, and the continuous component is the solution of a stochastic differential equation. Seemingly similar to diffusions, the processes have a number of salient features distinctly different from diffusion processes. After providing motivational examples arising from wireless communications, identification, finance, singular perturbed Markovian systems, manufacturing, and consensus controls, we present necessary and sufficient conditions for the existence of unique invariant measure, stability, stabilization, and numerical solutions of control and game problems.

Rif. Int. W. Runggaldier

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