ECE Seminar: Optimal Stopping with Memory: Recent Results and Open Problems

We will discuss recent results on optimal stopping problems in which the stateprocesses are governed by stochastic functional differential equations as well asstochastic differential equations with random coefficients. In particular, theexistence and uniqueness for the viscosity solution of the Hamilton-Jacobi Bellmanvariational inequality (HJBVI) in a Banach space and the adapted solution for thebackward stochastic partial differential variational inequality (BSPDVI) will beexamined. In addition, some challenging open problems will be mentioned in thistalk.Dr. Chang received his B.S. in Applied Mathematics from NationalChung-Hsing University (in Taiwan) and his M.S. and Ph.D. in Mathematicsfrom the University of Rhode Island. Prior to joining ARO in July 2002, Dr.Chang had been a tenured professor in the Department of MathematicalSciences at the University of Alabama in Huntsville (UAH) for twenty-eightyears. During his tenure at UAH, he had served as Department Chair for eightyears and the Graduate Program Director for five years. He was a co-founderof the joint Applied Mathematics Ph.D. Program of the University of AlabamaSystem. In addition, he was also appointed Visiting Scientist at theLaboratory for Information and Decision Systems of Massachusetts Instituteof Technology. For the past ten years since he joined ARO in 2002, Dr. Chang has been the manager of the ARO Probability and Statistics Program.