Dear colleagues, we are glad to announce the following seminar, within the list of LUISS Math Seminars for this Academic Year.
On 29th September - in Room 407, at 12:30, LUISS University, viale Romania 32, Roma, Prof Soren Christensen, Kiel University, will talk about:
*Nonparametric approaches to data-driven stochastic control*
Abstract: One of the fundamental assumptions in stochastic control of continuous-time processes is that the dynamics of the underlying process are known. This is, however, usually obviously not fulfilled in practice. On the other hand, a rich theory for nonparametric estimation of the characteristics of continuous-time processes has been developed over the last decades. In this talk, we discuss how to bring together these two areas for developing purely data-driven strategies for stochastic control, which we explore for ergodic impulse and singular control problems. We compare the results with those of deep-Q learning algorithms.