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The Kac semi-group and applications to stochastic control

 

When 17.00 on Thursday 3rd March 2011
Where OLD 3.21,Old Building 
Presentations  
Speaker Carlos Gabriel P. González
From CINVESTAV
Abstract

In this talk we present the Kac semi-group within the context of Markov processes, and we show applications in stochastic control problems with non-constant discounted criteria. In particular we set a Hamilton-Jacobi-Bellman equation for a problem where the discounted process is the Cox-Ingersol-Ross model.

 

For further information Sabina Allam (Postgraduate Administrator) Ext. 6879
Department of Statistics, Columbia House
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