School Seminars and Colloquia

Optimal control of an economic model with a small stochastic term

ORSUM Seminar

by Assoc Prof Bruce Craven


Institution: University of Melbourne
Date: Fri 8th April 2005
Time: 1:05 PM
Location: Room 213, Richard Berry Building, Department of Mathematics and Statistics, University of Melbourne.

Abstract: Some economic models, including financial models, involve a
small stochastic term. Optimal control for such models can be handled
approximately, in discrete time, by considering mean and covariance. This
avoids independence assumptions made in the usual Brownian motion
models, and
allows simple computation.

For More Information: Mark Fackrell tel: 8344 8053 email: m.fackrell@ms.unimelb.edu.au