Discovery Projects - Grant ID: DP0346406

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0346406

Funding Status
Closed

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Funded Activity Summary

Optimal Control of Stochastic Partial Differential Equations. The problem to control a stochastic process so as to minimize a certain cost functional arises in many areas of Applied Sciences, Engineering and Mathematical Finance. An important practical question is to find, for a given cost functional, the optimizing control in a feedback form. We propose new tools to construct such optimal controls for a class of stochastic processes which are solutions to stochastic partial differential equations. As an outcome of this project we will obtain methods to determine the optimal control policies for a large variety of cost functionals and degenerated stochastic partial differential equations, in particular those arising in modelling of volatility in Finance.

Funded Activity Details

Start Date: 07-01-2003

End Date: 30-06-2005

Funding Scheme: Discovery Projects

Funding Amount: $50,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Calculus Of Variations And Control Theory | Applied Mathematics | Systems Theory And Control

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Consumption |

Other Keywords

Applied Mathematics | Calculus Of Variations And Control Theory | Consumption | Finance and investment services | Stochastic Analysis And Modelling | Systems Theory And Control

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