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Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:

刘敬真 副教授,中央财经大学保险学院精算系

Inviter: 姚大成 博士
Title:
Optimality of (s, S) Policies with Nonlinear Processes
Time & Venue:
2018.12.26 13:30 S813
Abstract:

It is observed empirically that mean-reverting processes are more realistic in modeling the inventory level of a company. In a typical mean-reverting process, the inventory level is assumed to be linearly dependent on the deviation of the inventory level from the long-term mean. However, when the deviation is large, it is reasonable to assume that the company might want to increase the intensity of interference to the inventory level significantly rather than in a linear manner. In this talk, inventory replenishment is modelled as a nonlinear continuous feedback process. Both infinite horizon discounted cost and the corresponding optimal (s, S) policy are derived.

Affiliation: 刘敬真副教授于2010年在香港理工大学应用数学系获得博士学位,之后分别在香港理工大学和香港城市大学做Senior Research Associate。2013年到中央财经大学任教至今,先后任讲师、副教授。期间,多次访问香港大学,麦考瑞大学,德克萨斯大学达拉斯分校,墨尔本大学,新南威尔士大学,科廷大学等国际知名高校。其研究方向包括随机最优控制、金融工程、精算学等,论文发表在Automatica和SIAM Journal on Control and Optimization等国际知名期刊。

 

 

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