Tid: 19 januari 2004 kl 1615-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Adam Jonsson Oduya.
Titel: Understanding an anomaly in the solution of a Stochastic Control problem. (Examensarbete)
Sammanfattning: The optimal way to manage an aquifer where the water level behaves like the Bachelier process is, under specific circumstances, of a surprising type. We find that one optimally extracts water when the water level is in either of two disjoint intervals. It was asked under what assumptions optimal management bears this unexpected feature and whether it can be understood in any intuitive way. This report will answer these questions.