COLLOQUIUM
DEPARTMENT OF MATHEMATICS AND STATISTICS
OAKLAND UNIVERSITY
ROCHESTER, MICHIGAN 48309
George Yin
Department of Mathematics
Wayne State University
Detroit, Michigan 48202
Hybrid Switching Diffusions with Applications to Stochastic Controls
Abstract
In
this talk, we report some of our recent work on hybrid regime-switching
diffusions in which continuous dynamics and discrete events coexist.
First, motivational examples arising from singular perturbed Markovian
systems, manufacturing, and financial engineering are mentioned. Then
we present necessary and sufficient conditions for positive recurrence,
and conditions for ergodicity and stability. We will also consider
numerical solutions of controlled switching diffusions and related game
problems.
Thursday, March 4, 2010
3:00 – 4:00 P.M.
372 Science and Engineering Building
(Refreshments at 2:30-3:00 PM in the kitchen area adjacent to 368 SEB)