The conference will focus on control theory and numerical methods for stochastic models. Speakers will discuss a variety of applications of control, such as portfolio optimization, liquidity risk, hedging strategies, option pricing, games and analysis of the US current account deficits. Theoretical results will be presented for complex models involving jump-diffusion and regime-switching diffusion processes, and interacting particles systems. Several approaches to numerical evaluation of stochastic models will be exhibited, including Monte Carlo techniques, filtering methods, steepest descent and Euler algorithms, and an extension of the Kantorovich-Lax-Richtmeyer principle for deterministic models.
The conference will explore the applications of stochastic control and numerics in diverse areas such as economics, finance and operations research. The conference will comprise five one-hour presentations and fourteen thirty-minute lectures by leading experts in the areas of stochastic control and numerics. Graduate students and recent PhDs will present posters during two sessions. A panel session on "Future Directions for Numerical Methods in Stochastic Control" will highlight open problems and new trends in this field. The organizers anticipate new research collaborations to start as a result of the conference. Plans are underway to further disseminate the research results through a refereed volume.
