臺灣大學數學系演講
演講者：
Professor Gerhard-Wilhelm Weber (Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey, and Advisor to EURO Conferences)
講  題：
Operational Research and Optimal Control of Stochastic Hybrid Systems and Their Applications in Economy and Finance, Biology and Environment
時  間：2012年10月29日 (星期一) 14:20~15:20
地  點：臺灣大學天文數學館440室
摘  要：
Stochastic Optimal Control has an increasingly important role in science, economics and the sectors of environment and finance, and is extensively used in various applications. We present applications of Stochastic Hybrid models in biology, ecology, monetary systems and finance to account for regime switching dynamics. Stochastic models with a motion part and additionally a jump part are able to capture abrupt fluctuations that are a usual phenomenon in genetic and environmental networks and in financial markets. These kinds of models allow for more realistic investigation of portfolio optimization and utility maximization in financial markets and in genetic, metabolic and ecological interaction. The models comprise portfolio optimization with optimal investment and consumption strategies. Explicit consideration of risk aversion in an optimal investment and consumption problem allows for optimality conditions that are related to specific risk types in a market. A more general model for portfolio and gene-environment optimization is established afterwards. We conclude with an outlook on future studies.
主辦人：王振男