Seminar series
Date
Fri, 14 May 2010
14:15
14:15
Location
DH 1st floor SR
Speaker
George Yin
Organisation
Wayne State
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.