Wayne State University
On Switching Diffusions: The Feynman-Kac Formula And Near-Optimal Controls
Abstract
dc:description.abstract<p>We consider diffusions in two different contexts. First, we consider the so-called Feynman-Kac formula(s) for switching diffusions. These formulas provide stochastic representations for solutions of certain weakly coupled elliptical systems of partial differential equations. The formulas are verified for the boundary value problem, the initial value problem, and the initial boundary value problem. Second, we show the existence of near-optimal controls for a system driven by wideband noise in the presence of regime-switching. Using a relaxed control formulation, together with weak convergence methods, we show that given a stochastic optimal control problem, one may find a control that is near-optimal. The use of wideband noise is inspired from applications.</p>
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Open Access Dissertation
- Discipline thesis:degree_discipline
- Mathematics
- Year dc:date.available
- 2014
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Baran, Nicholas
- Contributors dc:contributor
-
- George Yin
Subjects
dc:subject × 1Identifiers
dc:identifier.*- Repository record dc:identifier
- https://digitalcommons.wayne.edu/oa_dissertations/1042
- OAI identifier oai:identifier
- oai:digitalcommons.wayne.edu:oa_dissertations-2041