Stochastic Optimal control of systems with regime switches, jumps and delay - applications in finance, economic and biology

[SEEM5202 Seminar Announcement] (Tuesday, Aug 18, 2015, 4:30pm - 5:30pm)




                Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong



Date: Tuesday, 4:30pm - 5:30pm, 18 August, 2015

Title: Stochastic Optimal control of systems with regime switches, jumps and delay - applications in finance, economic and biology

Speaker: Gerhard-Wilhelm Weber, Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey


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, biology and engineering. We introduce a new analytic approach to this area of stochastic optimal control which can lead to closed-form solutions. Finally, by also addressing delays we include into our study the existence of memory which is typical for many real-world problems. The presentation ends with a conclusion and an outlook to future studies.



Gerhard-Wilhelm (“Willi”) Weber is a Professor at IAM of METU. His research in on OR, financial mathematics, economics, optimization and control, life sciences, data mining, education and development; he is involved in the organization of scientific life internationally. He received his Diploma and Doctorate in mathematics, and economics / business administration, at RWTH Aachen, and his Habilitation at TU Darmstadt. He held Professorships by proxy at University of Cologne, and TU Chemnitz, Germany. At IAM, he is in the programs of Financial Mathematics and Scientific Computing and he is a member of five further graduate schools, institutes and departments of METU. He has affiliations at the universities of Siegen, Ballarat, Aveiro and North Sumatra, and he is “Advisor to EURO Conferences”. At IFORS, he is chair of the “OR for Developing Countries” online resources and regional correspondent for EURO of IFORS Newsletter. G.-W. Weber is coauthor of numerous publications, member of various editorial boards and got a number of awards.


Everyone is welcome to attend the talk!

Venue: Room 513,
      William M.W. Mong Engineering Building (ERB),
      (Engineering Building Complex Phase 2)
      The Chinese University of Hong Kong.

The talk will be hosted by:
Prof. Duan Li,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,

SEEM-5202 Website:

Tuesday, August 18, 2015 - 08:30 to 09:30