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DTSTAMP:20190917T021600Z
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CREATED:20190812T083643Z
DESCRIPTION:Speaker: \;Professor Son \;Luu Nguyen\, The University
of Puerto Rico\, Rio Piedras campus \;\nTitle: Switching Diffusions wi
th Mean-Field Interactions\nAbstract: In this talk we study switching diff
usions with mean-field interactions. The motivation stems from regime-swit
ching control systems involving mean-field terms\, in which the random swi
tching is modeled as a continuous-time Markov chain. We first obtain a law
of large numbers for empirical measures associate with the system. In con
trast to the existing literature\, the limit measure is not deterministic
but random\, characterized by the conditional distribution (given the hist
ory of the switching process) of the solution to a stochastic McKean-Vlaso
v differential equation with Markovian switching. Then a stochastic maximu
m principle for switching diffusions with mean-field interactions is estab
lished. Finally\, using the maximum principle\, optimal controls of linear
quadratic Gaussian controls with mean- field interactions for switching d
iffusions are carried out.
DTSTART:20190916T144500
DTEND:20190916T154500
LOCATION:FacultyAdministration
SUMMARY:Mathematics Colloquium - Son Luu Nguyen
TRANSP:OPAQUE
URL:https://events.wayne.edu/2019/09/16/mathematics-colloquium-son-luu-nguy
en-82955/
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