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Discovery Early Career Researcher Award - Grant ID: DE160100999
Funder
Australian Research Council
Funding Amount
$295,020.00
Summary
Applying forward-backward stochastic differential equations to optimisation. This project intends to develop new ways to solve optimisation problems that are currently difficult to solve because of their complexity and size. In particular, forward–backward stochastic differential equations (FBSDEs) are a new technique that is showing ways to solve problems for which there is yet to be a solution. This project's focus will be on problems that cannot use existing software because the decision-maki ....Applying forward-backward stochastic differential equations to optimisation. This project intends to develop new ways to solve optimisation problems that are currently difficult to solve because of their complexity and size. In particular, forward–backward stochastic differential equations (FBSDEs) are a new technique that is showing ways to solve problems for which there is yet to be a solution. This project's focus will be on problems that cannot use existing software because the decision-making processes require intensive consideration of all possible outcomes in the modelled environment. In comparison to previous optimisation methods, the FBSDE approach is easier to work with and much more informative. The project's main potential applications are multiplayer games with mean-field interaction and financial markets with partial information.Read moreRead less