Tuesday July 26/8:00
MS19/Harbor 1
Viscosity Solutions and Dynamic Programming
Since the 1984 papers of Crandall, Evans and Lions, viscosity solutions have found many applications in optimal control. The speakers in this minisymposium will discuss several of these applications: mathematical finance, dynamic scheduling and routing in stochastic networks, risk sensitive and H-infinity control and pursuit-evasion games. The hope, of course, is that by bringing diverse applications together we might find other situations where the viscosity solutions may be useful and also find new directions for people interested in viscosity solutions.
Organizer: Halil Mete Soner
Carnegie Mellon University
- 8:00: Discontinuous Solutions of Bellman-Isaacs Equations.
Martino Bardi, Universita di Padova, Italy
- 8:30: Variational Problems of Long-Term "Turnpike" Policies.
Thaleia Zariphopoulou, University of Wisconsin, Madison; and Chi-Fu Huang, Massachusetts Institute of Technology
- 9:00: A Risk-Sensitive Escape Criterion and Robust Limit.
William M. McEneaney, Carnegie Mellon University; and Paul Dupuis, Brown University
- 9:30: Heavy Traffic Convergence of a Controlled, Multi-Class Queueing System.
Halil Mete Soner, Organizer; F. Martins, Worcester Polytechnic Institute; and S. E. Shreve, Carnegie Mellon University