2018 Taipei, Taiwan

SS61:  Stochastic filtering, Optimal Control, and their applications

Shandong University
Peoples Rep of China
Southern University of Science and Technology
Peoples Rep of China
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