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SS61: Stochastic filtering, Optimal Control, and their applications

Organizer(s):
Name:	Affiliation:	Country:
Guangchen Wang	Shandong University	Peoples Rep of China
Jie Xiong	Southern University of Science and Technology	Peoples Rep of China

Abstract:
Optimal control problems are of important theoretical and practical significance with many application fields such as mathematical finance. A standard assumption in the literature is that the stochastic noises in the model are completely observed. However, this is rarely the case in real world situations. The optimal control problems under complete information are studied extensively. Nevertheless, very little is known about these problems when the information is not complete. Stochastic filtering is a classical topic with revitalized interest. The aforementioned optimal control problems under partial information calls for the combined study of optimal control and stochastic filtering. The goal of this session is to bring experts from both fields to exchange ideas and to encourage collaborations.

List of approved abstract
Name	Affiliation	Title
Rami Atar	Technion	Optimal control for a class of queueing models at the law-of-large-numbers scale
Vivek S Borkar	Indian Institute of Technology Bombay	Nonlinear filtering and averaging in two time scale systems
Amarjit Budhiraja	University of North Carolina at Chapel Hill	Large Deviations from the Hydrodynamic Limit for a System with Nearest Neighbor Interactions
Dan Crisan	Imperial College London	Time discretizations of the solution of the non-linear filtering problem
Erika E Hausenblas	Montanuniversitaet Leoben	Nonlinear Filtering with Levy processes
Yonghui Huang	Sun Yat-Sen University	Mean-variance problems for finite horizon continuous-time Markov decision processes
Ajay Jasra	National University of Singapore	Multilevel Smoothing and Filtering
Kody Law	Oak Ridge National Laboratory	Multilevel Particle Filtering
Qizhu Liang	University of Macau	Stochastic Maximum Principle on a Continuous-time Behavioral Portfolio Model
Hongwei H Long	Florida Atlantic University	Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
Vasileios Maroulas	University of Tennessee	Sequential Empirical Bayes Method for Filtering Dynamic Spatiotemporal Processes
Xiaoyang Pan	University of Tennessee	Large deviations for the nonlinear filter with Levy noise
Huyen PHAM	University Paris Diderot	Stochastic control under partial observation
Shuenn-Jyi Sheu	National Central University	An optimal consumption and investment problem with partial information
Jingtao Shi	Shandong University	A kind of stochastic linear-quadratic Stackelberg differential game with overlapping information
Xin Tong	National University of Singapore	Ensemble Kalman filter with a small effective dimension
James Yang	University of Sydney	Linear - Quadratic Stochastic Optimal Control with Fast - Slow Dynamics
Xingqiu Zhao	The Hong Kong Polytechnic University ShenZhen Research Institute	Estimation and Filtering in Environmental Pollution