93. Regime-switching models via stochastic optimal control & robust control theory, with applications in finance and insurance
Invited abstract in session FD-4: Optimal control and stochastic optimal control - theory, methods and applications 1, stream Optimal control and stochastic optimal control - theory, methods and applications.
Friday, 14:10 - 15:50Room: M:M
Authors (first author is the speaker)
| 1. | Gerhard-Wilhelm Weber
|
| Faculty of Engineering Management, Poznan University of Technology | |
| 2. | Emel Savku
|
| Department of Mathematics, University of Oslo | |
| 3. | Ioannis Baltas
|
| Financial and Management Engineering, University of the Aegean | |
| 4. | Athanasios Yannacopoulos
|
| Athens University of Economics and Business |
Abstract
This presentation consists in newest advancements in both (i) stochastic optimal control and games with jumps in finance under delay and regime switching, and (ii) stochastic optimal control and games in pension fund systems with new elements of regime switching and longevity. (iii) Time is reserved to enjoy the beauty of the underlying and employed mathematics, to discussions about pros and cons of different approaches, e.g., maximum principle vs dynamic program and Isaacs-Hamilton-Jacobi-Bellman equation, as well as to outlooks at future studies and applications, such as in physics, neuroscience and cosmology.
The talks is based on joint works of G.W. Weber with E. Savku, I. Baltas, L. Dopierala, K. Kolodziejczyk, M. Szczepański and A.N. Yannacopoulos.
Keywords
- Optimal control and applications
- Optimization under uncertainty and applications
- SS - Optimal and stochastic optimal control and games
Status: accepted
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