Title: A New Contribution to Operational Research: Optimal Control of Stochastic Hybrid Systems with Jumps – with Applications in Finance, Economics, Engineering and Biosciences
Author(s): Gerhard Wilhelm Weber, Emel Savku, Diogo Pinheiro and Nuno Azevedo
Abstract: In this presentation, we contribute to modern OR by hybrid, e.g., mixed continuous-discrete dynamics of stochastic differential equations with jumps and to its optimal control. These hybrid systems allow the representation of random regime switches and are of growing importance in economics, finance, science and engineering. We introduce two new approaches to this area of stochastic optimal control: one is based on the finding of closed-form solutions, the other one on a discrete-time numerical approximation scheme. The presentation ends with a conclusion and an outlook to future studies.