Abstract:

SPRK methods for the optimal control problems of stochastic pertial differential equations. The efficiency in the time consumption.
Stochastic control instead of a deterministic one.
Order conditions of the SPRK scheme for the stochastic optimal control problems.
Malliavin theory based Monte-Carlo approach for stochastic control problems with stochastic PDEs.
Nonlinear stochastic control problems.

Keywords:

• Stochastic optimal Control Problem
• Solution of Optimization Problem
• Discretization
• Continuous Optimality System
• Discrete Optimal Control Problem
• Computation of Conditional Expectation

Courses materials

About lecturer:

Prof. Gerhard-Wilhelm Weber ,
Department of Financial Mathematics and Department of Scientific Computing, Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey; Guest Professor at the Faculty of Economics, Management and Law of University of Siegen, Germany; Collaborator at Center for Research on Optimization and Control (CEOC), University of Aveiro, Portugal.