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Description:: First, an optimal stopping problem of a Markov-Feller process is considered when the controller is allowed to stop the evolution only at the arrival times of a signal. A complete setting and resolution of this problem is discussed, e.g., when the inter-arrival times of the signal are independent identically distributed random variables, and then...
Creator:: Menaldi, Jose (Wayne State University)
Created:: 2018-05-09
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: Simultaneous joint inversion of multiple data sets has become quite common in geophysics. For example, we have inverted electrical resistivity (ER) and ground penetrating radar (GPR) measurements made at the surface to image the near subsurface. Both measurements are sensitive to conductivity and are linked through Maxwellâ€™s equations. This gi...
Creator:: Mead, Jodi (Boise State University)
Created:: 2018-10-23
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: We show that the value function in a stochastic differential game does not change if we keep the same space $(\Omega,\cF)$ but introduce probability measures by means of Girsanov's transformation {\em depending\/} on the policies of the players. We also show that the value function does not change if we allow the driving Wiener processes to depe...
Creator:: Krylov, Nicolai (University of Minnesota, Twin Cities)
Created:: 2018-05-10
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: Within the context of satellite remote sensing, a common processing problem is the interpolation of irregularly sampled sensor data onto a regularly spaced grid as required for use in downstream scientific data products. Motivated by the need to solve this problem in the context of CubeSat radiometer platforms under development at MIT Lincoln La...
Creator:: Miller, Eric (Tufts University)
Created:: 2018-10-25
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: For thin liquid film coating viscous flows on different shapes of rotating substrates (spherical, cylindrical), taking into account surface tension and gravity, we show how stability of stationary solutions depends on values of the contact angles. We also show that for a certain range of contact angles in a partial wetting regimes lubrication ap...
Creator:: Chugunova, Marina (Claremont Graduate University)
Created:: 2018-03-26
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: In this talk we present some results on optimal asset allocation with stochastic interest rates in regime-switching models. A class of stochastic optimal control problems with Markovian regime-switching is formulated for which a verification theorem is provided. The theory is applied to solve two portfolio optimization problems (a portfolio of s...
Creator:: Liu, Ruihua (University of Dayton)
Created:: 2018-06-15
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: We tested optimization-based approaches to generate decision support rules used to improve personalized warfarin treatment based on clinical and genetic characteristics. Our approach simulated warfarin treatment outcomes using five existing treatment plans for clinical avatars (virtual patients). We used individual clinical avatar Time-in-Therap...
Creator:: , Chih-Lin (Jake) Chi
Created:: 2017-09-16
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: Dimension reduction techniques are at the core of the statistical analysis of high-dimensional observations. Whether the data are vector- or function-valued, principal component techniques, in this context, play a central role. The success of principal components in the dimension reduction problem is explained by the fact that, for any Kâ‰¤p, th...
Creator:: Hallin, Marc (Universite Libre de Bruxelles)
Created:: 2018-04-27
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: In this talk we present some recent new findings regarding optimal execution problems in an order-driven market where the limit order book (LOB) follows the so-called "equilibrium" model. More precisely, we argue that the "equilibrium utility function", which determines both the "shape" and the "frontier" of the LOB endogenously, is in fact the ...
Creator:: Ma, Jin (University of Southern California)
Created:: 2018-06-11
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04

Description:: This paper studies the optimal extraction and taxation of nonrenewable natural resources. It is well known that prices of strategic resources such as oil, natural gas, uranium, copper,..., etc, fluctuate randomly following global and seasonal macroeconomic parameters, those prices are modeled using Markov switching L\'evy processes. We formulate...
Creator:: Pemy, Moustapha (Towson State University)
Created:: 2018-06-12
Contributed By:: University of Minnesota, Institute for Mathematics and its Applications.
Last Updated:: 2019-02-04