BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Date iCal//NONSGML kigkonsult.se iCalcreator 2.20.2//
METHOD:PUBLISH
BEGIN:VTIMEZONE
TZID:America/New_York
BEGIN:STANDARD
DTSTART:20221106T020000
TZOFFSETFROM:-0400
TZOFFSETTO:-0500
TZNAME:EST
END:STANDARD
BEGIN:DAYLIGHT
DTSTART:20220313T020000
TZOFFSETFROM:-0500
TZOFFSETTO:-0400
RDATE:20230312T020000
TZNAME:EDT
END:DAYLIGHT
END:VTIMEZONE
BEGIN:VEVENT
UID:calendar.400276.field_date.0@www.wpi.edu
DTSTAMP:20221128T213308Z
CREATED:20220831T202808Z
DESCRIPTION:Description of Event: \n\n\nMathematical Sciences Department\n
\n\nFinancial Mathematics Seminar\n\n\n\nSpeaker: Jiongmin Yong (UCF)\n\n
\n\nMonday\, September 26\, 2022\n\n\n\n2:00 pm - 2:50 pm\n\n\n\nStratton
Hall 306\n\n\n\nTitle: Properties for Stochastic Linear-Quadratic Optimal
Control Problems\n\n\n\nAbstract: For deterministic optimal control proble
ms in very large time horizons (either finite dimensional or infinite dime
nsional)\, under proper conditions\, the optimal pair will stay near a sol
ution of a proper static optimization problem. Such a phenomenon is called
the ``turnpike’’ property. The proper static optimization problem usually
is the one with the objective function being the running cost rate functi
on and with the constraint being the equilibria of the vector field of the
state equation. However\, for stochastic problems\, mimicking the idea of
the deterministic problems will lead to some incorrect conclusions. In th
is talk\, we will look at stochastic linear-quadratic optimal control prob
lem in large duration. We will correctly formulate the proper static optim
ization problem and establish the turnpike properties of the corresponding
stochastic linear-quadratic problem.
DTSTART;TZID=America/New_York:20220926T140000
DTEND;TZID=America/New_York:20220926T145000
LAST-MODIFIED:20220909T191142Z
LOCATION:Stratton Hall
SUMMARY:Mathematical Sciences Department\, Financial Mathematics Seminar -
Jiongmin Yong (University of Central Florida) 'Turnpike Properties for Sto
chastic Linear-Quadratic Optimal Control Problems' SH 306
URL;TYPE=URI:https://www.wpi.edu/news/calendar/events/mathematical-sciences
-department-financial-mathematics-seminar-jiongmin-yong
END:VEVENT
END:VCALENDAR