Risk Sensitive Stochastic Control

Friday, May 1, 1998 - 11:00am - 12:00pm
Keller 3-180
Wendell Fleming (Brown University)
Risk sensitive control provides a link between deterministic and stochastic modelling of disturbances in control systems. Connections with differential games, large deviations theory, parabolic partial differential equations and mathematical finance will be mentioned. The lecture is intended to be accessible to a rather broad audience.