IFIP - TC7 System Modeling and Optimization

Working group 7.7
Stochastic Control and Optimization

Aims and scope

The main aim of the IFIP TC 7 Working Group 7.7 is to foster academic exchange and cooperation between experts in stochastic control, optimization and stochastic games, where control is understood widely as stopping, impulse control, singular control, continuous control or mixture of thereof. Prime focus will be on fundamental research and its applications and will include numerical methods.

Stochastic control has been an active area of research since 1970s but has recently enjoyed particular revival due to applications in, inter alia, operations research (real options, principal-agent problems, resource management), economics and social sciences (particularly game theory), finance (trading on imperfect markets). Implications of the information structure available to controllers and players about either the state process (complete v. partial information) or the dynamic model (ambiguity) have been brought to the forefront of research. In parallel, there has been a flurry of new theoretical results linking stochastic control to Backward Stochastic Differential Equations, branching diffusions and recent emergence of new paradigms of mean-field games and controlled McKean-Vlasov SDEs motivated by studies of large-scale stochastic games describing interactions in modern societies. Above areas of research are closely linked to stochastic analysis, filtering theory, stochastic differential and partial differential equations with Brownian or Levy noises.

Chair

Membership