A few flavours of optimal control of Markov chains 11:00 Thu 12 Dec, 2013 :: B18 :: Dr Sam Cohen :: Oxford University
In this talk we will outline a general view of optimal control of a continuous-time Markov chain, and how this naturally leads to the theory of Backward Stochastic Differential Equations. We will see how this class of equations gives a natural setting to study these problems, and how we can calculate numerical solutions in many settings. These will include problems with payoffs with memory, with random terminal times, with ergodic and infinite-horizon value functions, and with finite and infinitely many states. Examples will be drawn from finance, networks and electronic engineering.