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September 16, 2019 | 2:45 p.m. - 3:45 p.m.
Category: Lecture
Location: Faculty/Administration #1140 | Map
656 W. Kirby
Detroit, MI 48202
Cost: Free

Speaker: Professor Son Luu Nguyen, The University of Puerto Rico, Rio Piedras campus 

Title: Switching Diffusions with Mean-Field Interactions

Abstract: In this talk we study switching diffusions with mean-field interactions. The motivation stems from regime-switching control systems involving mean-field terms, in which the random switching is modeled as a continuous-time Markov chain. We first obtain a law of large numbers for empirical measures associate with the system. In contrast to the existing literature, the limit measure is not deterministic but random, characterized by the conditional distribution (given the history of the switching process) of the solution to a stochastic McKean-Vlasov differential equation with Markovian switching. Then a stochastic maximum principle for switching diffusions with mean-field interactions is established. Finally, using the maximum principle, optimal controls of linear quadratic Gaussian controls with mean- field interactions for switching diffusions are carried out.

For more information about this event, please contact Department of Mathematics at 3135772479 or math@wayne.edu.