Liu Bie Ju Centre for Mathematical Sciences
City University of Hong Kong
Mathematical Analysis and its Applications
Colloquium

Organized by Prof. Ya Yan LU and Prof. Wei Wei SUN

Switching Diffusions and Applications

by

Professor George YIN
Department of Mathematics
Wayne State University, USA

Date: Oct 04, 2011 (Tuesday)
Time:4:30 pm to 5:30 pm
Venue: Room B6605 (College Conference Room)
Blue Zone, Level 6, Academic Building
City University of Hong Kong

ABSTRACT: Numerous problems in control and optimization require the treatment of systems in which continuous dynamics and discrete events coexist. The discrete component is given by a pure jump process with a finite state space, and the continuous component is the solution of a stochastic differential equation. Seemingly similar to diffusions, the processes have a number of salient features distinctly different from that of diffusion processes. We present continuous and smooth dependence on the initial data, necessary and sufficient conditions for the existence of unique invariant measure, and stability. We also study applications arising in consensus controls reveal the multi-scale structure involved.

** All interested are welcome **

For enquiry: 3442-9816