Friday, May 8

Stochastic Systems Part II: Stochastic Control

4:30 PM-6:30 PM
Salon B

Along with the sweeping changes in science and technology, modeling the real world by means of stochastic systems has shown great promise. At the forefront of the stochastic systems theory, stochastic control has been attracting much needed attention. Many significant results have been obtained recently, new computational methods have been developed, and various applications have been dealt with.

The purpose of this minisymposium is to review and to update the recent advances in stochastic systems.

In this part of the minisymposium, the speakers will discuss adaptive control problems, Riccati equations arising from optimal controls, and applications in mathematical finance.

Organizers: George Yin
Wayne State University
Qing Zhang
University of Georgia
4:30 Adaptive Boundary Control of Linear Stochastic Evolution Systems
Tyrone E. Duncan, University of Kansas, Lawrence
5:00 Stochastic Adaptive Control with Sampling, Numerical Differentiation, Integration and Parameter Estimation
Bozenna Pasik-Duncan, University of Kansas, Lawrence
5:30 A New Stochastic Riccati Equation
X. Y. Zhou, Chinese University of Hong Kong, Hong Kong
6:00 Optimal Portfolio Selection with Transaction Costs
P. Collings and Ulrich Haussmann, University of British Columbia, Canada

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MMD, 3/5/98