Mathematical Sciences: Topics in Stochastic Control and     Diffusion Processes
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{'SignBlockName': 'Michael Steuerwalt', 'PO_EMAI': None, 'PO_PHON': None}
In stochastic control problems, a random phenomenon is observed which           is to be controlled using knowledge of the probabalistic law that the           phenomenon obeys and the past history of the observations.  The goal is         to minimize the expected value of an associated cost function.                  Although the dynamic propramming principle will in theory yield an              optimal strategy, in practice the theoretical results rarely provide            explicitly computable answers.  One of the main objects of this                 research is to determine, as explicitly as possible, the form of                optimal policies in specific stochastic control problems arising from           consumption/investment issues.  Other research will deal with the               connections between optimal stopping problems and singular stochastic           control.  The latter involves control actions having singular parts.            Of particular interest are so-called 'finite fuel' constraints wherein          the amount of effort (fuel) available to the controller is limited.
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[{'Code': '1266', 'Text': 'APPLIED MATHEMATICS'}, {'Code': '1454', 'Text': 'SYSTEMS THEORY'}]
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