Hybrid Switching Diffusions and Applications to Stochastic Controls

Hybrid Switching Diffusions and Applications to Stochastic Controls

Fri, 14/05/2010
14:15 		George Yin (Wayne State) Nomura Seminar Add to calendar DH 1st floor SR
Hybrid Switching Diffusions and Applications to Stochastic Controls
In this talk, we report some of our recent work on hybrid switching diffusions in which continuous dynamics and discrete events coexist. Motivational examples in singular perturbed Markovian systems, manufacturing, and financial engineering will be mentioned. After presenting criteria for recurrence and ergodicity, we consider numerical methods for controlled switching diffusions and related game problems. Rates of convergence of Markov chain approximation methods will also be studied.