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Centre of Financial Mathematics Seminar Series

May 14, 2018 @ 11:00 am - 12:00 pm


Professor Vladimir Gaitsgory (Department of Mathematics, Macquarie University)


Averaging in singularly perturbed deterministic and stochastic optimal control problems and dynamic games


Models of real life dynamical systems are often characterized by the fact that their state variables are decomposed into groups of slow and fast ones, this decomposition being formalized with a special introduction of a small parameter. Such systems are commonly called singularly perturbed (SP). In this talk, we will discuss ways of using averaging techniques for construction of asymptotically near optimal solutions in problems of optimal control and dynamic games considered on trajectories of SP systems.

Please let Chung Siu know if you want to join the speaker for lunch at Expresso Warriors before the seminar at 12pm.


May 14, 2018
11:00 am - 12:00 pm
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Building 39A Room 208
University of Wollongong
Wollongong, NSW Australia
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