ECE Seminar: Optimal Stopping with Memory: Recent Results and Open Problems

Feb 26

Tuesday, February 26, 2013

11:45 am - 1:00 pm
Hudson Hall 218

Presenter

Mou-Hsiung (Harry) Chang, Ph.D., Mathematical Sciences Division, U.S. Army Research Office

We will discuss recent results on optimal stopping problems in which the state processes are governed by stochastic functional differential equations as well as stochastic differential equations with random coefficients. In particular, the existence and uniqueness for the viscosity solution of the Hamilton-Jacobi Bellman variational inequality (HJBVI) in a Banach space and the adapted solution for the backward stochastic partial differential variational inequality (BSPDVI) will be examined. In addition, some challenging open problems will be mentioned in this talk. Dr. Chang received his B.S. in Applied Mathematics from National Chung-Hsing University (in Taiwan) and his M.S. and Ph.D. in Mathematics from the University of Rhode Island. Prior to joining ARO in July 2002, Dr. Chang had been a tenured professor in the Department of Mathematical Sciences at the University of Alabama in Huntsville (UAH) for twenty-eight years. During his tenure at UAH, he had served as Department Chair for eight years and the Graduate Program Director for five years. He was a co-founder of the joint Applied Mathematics Ph.D. Program of the University of Alabama System. In addition, he was also appointed Visiting Scientist at the Laboratory for Information and Decision Systems of Massachusetts Institute of Technology. For the past ten years since he joined ARO in 2002, Dr. Chang has been the manager of the ARO Probability and Statistics Program.

Contact

McLain, Paul
660-5254
paul.mclain@duke.edu