School Seminars and Colloquia

Modeling, Analysis, and Computation of Switching Diffusions

Stochastic Processes and Financial Mathematics

by George Yin


Institution: Wayne State University, Detroit, MI 48202
Date: Thu 3rd May 2012
Time: 4:15 PM
Location: REDMOND BARRY-Rm:1004-Flr:10

Abstract: In this talk, we consider stochastic systems whose states have two
components. The discrete component is given by a random process
with a finite state space, and the continuous component is the
solution of a stochastic differential equation. Seemingly similar
to diffusions, such processes have a number of salient features
distinctly different from diffusion processes. After providing
motivational examples arising in risk modeling, finance,
two-time-scale Markovian systems, manufacturing, and consensus
controls, we present some of our recent results on recurrence,
stability, stabilization, and numerical solutions of control and
game problems.