报告人：George Yin教授 (殷刚教授，美国Wayne州立大学)

报告题目：Numerical Methods for Stochastic Differential Equations and Stochastic Control with Soft Constraints

报告摘要：This includes two parts. The first part develops numerical schemes for stochastic differential equations with Markovian switching (switching SDEs). Inspired by the well-known Milstein algorithms for solutions of stochastic differential equations, our effort is devoted to designing approximation algorithms with faster convergence rates than the commonly used Euler-Maruyama procedures. The second part is concerned with numerical methods for stochastic optimal control with soft constraints with application to an illiquid stock position build-up. Approximation schemes are developed, which consist of inner and outer approximations. The inner approximation is a numerical procedure for obtaining optimal strategies based on a fixed parameter of the Lagrange multiplier. The outer approximation is a stochastic approximation algorithm for obtaining the optimal Lagrange multiplier. Convergence analysis is provided for both the inner and outer approximations. Finally, numerical examples are provided to illustrate our results. 

报告时间: 2017年7月20日(星期四)下午2:00-3:00

报告地点: 科技楼南楼702室