Prof. A. Swiech (Georgia Institute of Technology) will give a series of lectures. You will be required to give a report on it. The contents of lectures are as follows: "This series of lectures will be an introduction to the dynamic programming approach to stochastic optimal control. We will focus on optimal control problems described by finite dimensional stochastic differential equations driven by Wiener processes. We will present the proof of the dynamic programming principle and show how it implies that the value function of an optimal control problem is a viscosity solution of the associated Hamilton-Jacobi-Bellman equation. We will discuss how the Hamilton-Jacobi-Bellman equation can be used to obtain necessary and sufficient conditions for optimality and to construct an optimal feedback control. In the last lecture we will discuss optimal control of jump diffusions and its connections to Hamilton-Jacobi-Bellman
integro-PDE and also discuss extensions of the dynamic programming approach to optimal control of stochastic PDE and Hamilton-Jacobi-Bellman equations in infinite dimensional Hilbert spaces."

• Dynamic Programming Principle
• Hamilton-Jacobi-Bellman equation

• 講義室
  • 北青葉山キャンパス　数理科学記念館（川井ホール）
    Kawai Hall, Kita-Aobayama Campus
• 日時
  • 07/17 14:50 ～ 07/17 15:50
    Jul 17, 14:50 ～ Jul 17, 15:50

• 講義室
  • 北青葉山キャンパス　数理科学記念館（川井ホール）
    Kawai Hall, Kita-Aobayama Campus
• 日時
  • 07/18 11:20 ～ 07/18 12:20
    Jul 18, 11:20 ～ Jul 18, 12:20

• 講義室
  • 北青葉山キャンパス　数理科学記念館（川井ホール）
    Kawai Hall, Kita-Aobayama Campus
• 日時
  • 07/19 11:20 ～ 07/19 12:20
    Jul 19, 11:20 ～ Jul 19, 12:20

• 講義室
  • 北青葉山キャンパス　数理科学記念館（川井ホール）
    Kawai Hall, Kita-Aobayama Campus
• 日時
  • 07/20 11:20 ～ 07/20 12:20
    Jul 20, 11:20 ～ Jul 20, 12:20

• 講義室
  • 北青葉山キャンパス　数理科学記念館（川井ホール）
    Kawai Hall, Kita-Aobayama Campus
• 日時
  • 07/21 11:20 ～ 07/21 12:20
    Jul 21, 11:20 ～ Jul 21, 12:20