Stochastic modeling and control

02.01.2019 - 31.03.2019 | Będlewo & Warsaw

X Simons semester on Stochastic modeling and control

It is rather clear that in modeling of real events we can not restrict ourselves to deterministic models. Stochasticity appears naturally when to take into account uncertain future as well as our errors in observations or measurements. The idea of workshop is to consider three important aspects of stochastic modeling and control: stochastic control, modeling and applications. We want to devote special attention to stochastic control. This area at certain moment was dominated by mathematics of finance and as a result was not commonly recognized in engineering sciences. Development of recent applications of control theory pointed out necessity to take into account random factors. Furthermore may models are subject to random disturbances. Therefore there is a real need to study stochastic control problems. We want to start with a Workshop on Recent problems of stochastic control theory to be held on January January 28th- February 2nd, 2019 in Warsaw.   We are planning to focus on the new techniques, which appear in stochastic control. We have in mind viscosity solutions, modern approaches to ergodic control problems, backward stochastic differential equations techniques, which allow also to control also diffusion term, control of differential equations with Levy noise, and new ideas in filtering theory and control with partial observation based on randomization. The above problems are mainly finite dimensional but solutions require infinite dimensional approach, which is in particular in the case of filtering problems or mean field problems (the problems when the dynamics depend on expected value of the state process).  There are also two subareas of stochastic control we will be also interested: Markov decision processes and stochastic game theory.  We would like to invite two leaders:

prof. Vivek Borkar from Indian Institute of Technology Bombay to present a series of lectures on ergodic control problems,

and prof. Andrzej Święch from Georgia Institute of Technology to deliver a series of lectures on viscosity solutions:  theory and applications in stochastic optimal control.

Then we plan to organize Conference on Stochastic modeling (in finance and insurance), Bedlewo on February 11th-15th, 2019 2019. This meeting will be focused mainly on mathematics of finance and insurance.

In our semester we shall have also two junior leaders:

prof. Teemu Pennanen form King's College London and prof. Miklos Rasonyi from Renyi Institute HAS.

In abstracts you can find more information about series of lectures which shall deliver semester leaders.

The third month of the semester will be devoted to real applications of stochastic models. We are planing

Graduate school on Industrial  applications of stochastic modeling, on March 11-15, in Warsaw, during which examples of real applications will be presented

and after it 144 European Study Group with Industry (144 ESGI), on March 18-22, in Warsaw, during which young researchers and students shall try to solve various problems coming from industry.   

XIX Simons semester on Stochastic modeling and control - main activities:

  1. Workshop on Recent problems of stochastic control theory: 28.01- 02.02.2019, Warsaw 
  2. Conference on Stochastic modeling (in finance and insurance): 11.02-15.02.2019, Będlewo    
  3. Graduate school on Industrial  applications of stochastic modeling followed by European Study Group with Industry: 11.03-22.03.2019, Warsaw   


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