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홈 > 학술정보 >학술행사 > 세미나
2017 KAIST Math. Colloquium

Title
Switching Diffusions and Applications
Speaker
George Yin   (Wayne State University )
Date
2017-03-16 16:15:00
Host
KAIST
Place
자연과학동(E6-1), Room 1501
Abstract
Many problems in control and optimization require the treatment of systems in which continuous dynamics and discrete events coexist. This talk presents a survey on some of our recent work on such systems. In the setup, the discrete event is given by a random process with a finite state space, and the continuous component is the solution of a stochastic differential equation. Seemingly similar to diffusions, the processes have a number of salient features distinctly different from diffusion processes. After providing motivational examples arising from wireless communications, identification, finance, singular perturbed Markovian systems, manufacturing, and consensus controls, we present necessary and sufficient conditions for the existence of unique invariant measure, stability, stabilization, and numerical solutions of control and game problems.
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