OOCMFE 2012 - Optimization and Optimal Control on Mathematical Finance and Economics - OOCMFE 2012

TOPICS OF INTEREST
Optimization
Stochastic Processes
Dynamic Programming
Game Theory
Mathematical Modeling
SCOPE
This Special Session aim is to bring together a group of researchers which combine techniques from Dynamical Systems, Optimization and Control to address a variety of problems arising from Finances and Economics. The Session will be composed by six talks on the topics mentioned above.
Two of the planned contributions to the Special Session will be devoted to the use of Stochastic Optimal Control and Dynamic Programming to study:
(i) consumption-investment problems in financial markets with Markovian coefficients;
and (ii) the interaction between life-insurance management and consumption-investment for financial markets with deterministic coefficients.
Four other talks will address the interplay between Dynamical Systems, Game Theory and Optimization in the context of General Equilibrium Theory problems:
(i) the analysis of discrete and continuous R&D investment strategies for a duopoly Cournot competition model;
(ii) the introduction and study of a resort pricing model and its Nash equilibria;
(iii) the existence and characterization of an asymptotic equilibrium for a class of random matching Edgeworthian economies;
and (iv) a model for the dynamics of bargaining based on a projected gradient system associated with an minimization problem describing the minimization of a disutility function.
We believe that this Special Session may prove to be very fruitful in the sense that it may contribute to enhance a stronger collaboration between the researchers presenting their work at the Session, as well as with members of our scientific community attending the session.