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Probability and Computational Finance Seminar
Yuri Bhaktin
Georgia Tech
Title: Diffusion Models of Sequential Decision Making

Abstract: I will consider a class of mathematical models of decision making. These models are based on dynamics in the neighborhood of unstable equilibria and involve random perturbations due to small noise. I will report results on the vanishing noise limit for these systems, providing precise predictions about the statistics of decision making times and sequences of unstable equilibria visited by the process. Mathematically, the results are based on the analysis of random Poincare maps in the neighborhood of each equilibrium point. I will also discuss some experimental data.

Date: Monday, March 1, 2010
Time: 5:00 pm
Location: Wean Hall 6423