MathsNet: Research Student Directory

Name Wang, Zimeng
Group Statistics and Probability
Room B8, Math Sci
Telephone +44 (0) 115 95 14912 [direct dial]
Email
Thesis Title Stochastic Optimal Controls with Delay
Thesis Abstract The method of stochastic maximum principle has been applied for solving stochastic optimal control problem in Markovian situations. Recently, there are many applications of control problems, especially in finance, are required the information from past, i.e. it is non-Markovian. This project will aim to develop the method of stochastic maximum principle to a non-Markovian case by taking the factor of time delay into consideration and then apply it to some applications in finance.
School contact information School of Mathematical Sciences
University of Nottingham
University Park
Nottingham, NG7 2RD
UK
Tel: +44 (0) 115 951 4949
Fax: +44 (0) 115 951 4951