Siegel der Universität Augsburg

Universität Augsburg
Institut für Mathematik

Siegel der Universität Augsburg


Oberseminar Stochastik


Frau Angelina Koutsibela
University of Athens

spricht am
Mittwoch, 14. Juni 2023
17:00 Uhr
Raum 2004 (L1)
über das Thema:

»The deterministic and stochastic shallow lake problem«

We investigate the value function of the deterministic and stochastic shallow lake problem, which turns out to be a uniquely determined viscosity solution to a Hamilton-Jacobi-Bellman equation. We present a verification and a comparison theorem, based on which we prove the existence of optimal control. We numerically investigate the equilibrium distribution and the path properties of the optimally controlled lake, particularly when the system of the lake has an indifference (Skiba) point. This case corresponds to a non-smooth double-well potential and the computation of the mean transition times between the wells is based on a generalisation of the Arrhenius law.


Hierzu ergeht herzliche Einladung.
Prof. Dr. Stefan Großkinsky

[Impressum]      [Datenschutz],     Fr 2-Jun-2023 23:10:58 MESZ