Singular Stochastic Control



                          Faculty Distinguished Lecture

                            Faculty of Engineering

                        The Chinese University of Hong Kong


Title                    : Singular Stochastic Control

Speaker             : Professor John Michael Harrison, Adams Distinguished Professor of Management, Emeritus, Graduate School of Business, Stanford University
Date                   :  7th March 2024 (Thursday)

Time                   :  4:30p.m. –  5:30p.m.

Venue                :  Yasumoto International Academic Park (YIA), LT7

                                (Snacks and light refreshments will be provided)

Online session via Zoom is also avaliable with the information provided below.

Zoom Meeting ID :  987 7406 0228

Passcode                   :  583712


This lecture will focus on singular control of Brownian motion, geometric Brownian motion, or reflected Brownian motion, especially in high dimensions. Such problems arise naturally in both finance and operations management. After reviewing model formulations that lead to singular control problems, I will describe a new computational method developed in joint work with Baris Ata and Nian Si, and will illustrate its use with several numerical examples. Extending earlier work by Han et al. (Proceedings of the National Academy of Sciences, 2018, 8505-8510), our method is simulation-based and relies heavily on neural network technology. In numerical studies conducted thus far, the method is accurate to within a fraction of one percent and is computationally feasible in dimensions up to at least d=20.


J. MICHAEL HARRlSON is the Adams Distinguished Professor of Management, Emeritus, in the Graduate School of Business, Stanford University.  He earned a B.S. degree in industrial engineering from Lehigh University, an M.S. in industrial engineering from Stanford, and a Ph.D. in operations research from Stanford before joining the faculty of the Graduate School of Business in 1970.  He has developed and analyzed stochastic models in several different domains related to business, including mathematical finance, processing network theory, call center scheduling, dynamic pricing and revenue management. Professor Harrison has been honored by INFORMS with its Expository Writing Award (1998), the Lanchester Prize for best research publication (2001), and the John von Neumann Theory Prize (2004); he was elected to the National Academy of Engineering in 2008.  He is a fellow of INFORMS and of the Institute for Mathematical Statistics.

Thursday, March 7, 2024 - 16:30