Dear all, this is a gentle memo of the seminar by Soren Christensen, Uni-Kiel, September 29 at 12:30 e verterà su:

*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.

Room: 406 a, campus viale Romania, Roma

LINK https://luiss.webex.com/luiss-en/j.php?MTID=m3aff761032d19c28c3c1bd004b35f6b...

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