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Al-Khwarizmi
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Speaker: Saïd Hamadene, Le Mans University, France.
Title: The optimal switching problem with signed switching costs.
Abstract: In this talk we discuss the optimal multiple modes switching problem in finite horizon when the costs associated with the changes of regimes do not have a constant sign. From the economic point of view, this corresponds to the framework where the change of modes could generate subsidies instead of being strict costs. The problem is solved by means of probabilistic tools. The main assumption is the monotonicity of the switching costs. In the Markov setting, the associated HJB system of PDEs is also considered. We show the existence and uniqueness of the solution in viscosity sense. Switching problems get involved in energy markets, financial markets, cyber-security field, etc.
This is a joint work with B. El-Asri and M. Souheil (Agadir University).
Objectives of the Al-Khwarizmi seminar: to share knowledge, problems, methods among researchers in applied mathematics from different backgrounds and countries.
Seminar details: the seminar occurs online every two weeks (Zoom link: https://ksu-hub.zoom.us/j/97753107489), with each talk lasting 50 minutes, followed by a 20-minute Q&A session.
Organizers: under the guidance of an international scientific committee, the webinar is led by researchers from Tunisian and Saudi universities (see our committee members).
Flexibility and collaboration: we aim at fostering collaborations and potential research projects or publications among researchers from all over the world, thus everyone is welcome to suggest a talk by sending a message to any of these emails: rafik.aguech@ipeit.rnu.tn, nabil.gmati@enit.utm.tn, wissem.jedidi@fst.utm.tn, aalhammali@iau.edu.sa
Support: AGALab-Monastir, LAMSIN-Tunis, the Mediterranean Institute for the Mathematical Sciences, and the Tunisian Mathematical Society.
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