Introduction to stochastic optimal control

主讲人：周涛 中国科学院

时间：2019年6月19日13：30

地点：徐汇校区3号楼301室

举办单位：数理学院

内容介绍：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.