12-13天元基金几何与随机分析及其应用交叉讲座之144【王永进】

时间:2018-12-06


报告题目: From Hitting times of Markov processes to solving a class of Optimal Stopping Problems

报告人: 王永进教授(南开大学)

报告时间:12月13号(周四) 上午 10:00 - 11:00

报告地点: 二教2606

摘要:

The Optimal Stopping Problems based on Markov processes were and still are interesting topics due to their applications in a variety of subjects. Here, we begin with a concrete diffusion process, and a new strategy is adopted for solving the problems.  First we explicitly  compute some typical hitting times of the diffusion process. Then the Markov processes potential analysis theories  help us to further get the optimal stopping problem solution in a close form, for the infinite horizon case. Also this method can be developed for the finite horizon case, in some sense.