Stochastic Analysis and Applications: Optimal switching problems: solution techniques and applications

  • Date: –15:00
  • Location: Ångströmlaboratoriet, Lägerhyddsvägen 1 64119
  • Lecturer: Marcus Olofsson
  • Organiser: Matematiska institutionen
  • Contact person: Erik Ekström
  • Seminarium

Abstract: Optimal switching is a type of optimization problem which has been studied extensively during the last decade. By now, both probabilistic and deterministic solution methods, based on BSDEs and PDEs, respectively, are available and the mathematical aspects of the problem are quite well understood. However, when it comes to applications, considerably less has been done and the theory, with close ties to optimal stopping and financial mathematics, has not yet attracted much attention outside of the mathematical community. 

In this talk I will introduce optimal switching problems and present some techniques for solving them. Moreover, I will discuss a possible application and some difficulties arising when going from theory to practice.  

Parts of this talk is based on ongoing joint work with Niklas Lundström

(UmU) and Thomas Önskog (KTH).