This is a joint work with Professor Jens Frehse and Professor Phillip Yam. We give a unified presentation of two research domains which have been very popular in the recent years, but considered independently. We provide a Dynamic Programming as well as a Stochastic Maximum Principle approach. We discuss many extensions and the issue of time consistency. Extended slides will be provided.
Dr. Alain Bensoussan is Ashbel Smith Professor and the Director of International Center for Decision and Risk Analysis (ICDRiA) at the University of Texas at Dallas. Dr. Bensoussan is also Chair Professor of Risk and Decision Analysis at the Hong Kong Polytechnic University, and World Class University Distinguished Professor at Ajou University, South Korea. He is Professor Emeritus at the University of Paris, Dauphine. Dr. Bensoussan served as President of the National Institute for Research in Computer Science and Control (INRIA) from 1984 to 1996, President of the French Space Agency (CNES) from 1996 to 2003, and Chairman of the European Space Agency (ESA) Council from 1999 to 2002.
Dr. Bensoussan’s focus is currently on the energy sector, however, he has an extensive research background in stochastic control, risk analysis and decision making. He has published thirteen books and more than four hundred papers and proceedings. Dr. Bensoussan developed a comprehensive approach to Risk Analysis, to apprehend technical and socio-economic risks simultaneously. He has experience in the aerospace and information technology industries. Dr. Bensoussan is a member of the French Academy of Sciences, the French Academy of Technology, Academia Europae, and the International Academy of Astronautics. His distinctions include IEEE (The Institute of Electrical and Electronics Engineers) Fellow, SIAM (Society for Industrial and Applied Mathematics) Fellow, Von Humboldt award, and the National Aeronautics and Space Administration (NASA) public service medal. Dr. Bensoussan is a decorated Officer of Legion d’Honneur, Commandeur Ordre National du Merite and Officer Bundes Verdienst Kreuz.
More details at http://www.utdallas.edu/~axb046100/bensoussan_cv.pdf