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PhD Dissertation Defense: Mr. Samuel Nehls

June 29, 2020 @ 11:00 am - 1:00 pm

Due to the COVID-19 Pandemic, the University has instruction to cancel all in-person events through the Summer semester to adhere to city and state orders limiting public gatherings. Events still running must now take place Online— listed events will include a link in which one may access the Online webspace:

To view Mr. Nehls’s defense, enter his Online chatroom via Collaborative Ultra— it will open one hour prior to the event at 11:00 am on Monday, June 29th. 

Analysis of the Continuity of the Value Function of an Optimal Stopping Problem

Mr. Samuel Nehls
University of Wisconsin-Milwaukee
Dissertator

In order to study model uncertainty of an optimal stopping problem of a stochastic process with a given state dependent drift rate and volatility, we analyze the effects of perturbing the parameters of the problem. This is accomplished by translating the original problem into a semi-infinite linear program and its dual. We then approximate this dual linear program by a countably constrained sub-linear program as well as an infinite sequence of finitely constrained linear programs. We find that under sufficient conditions the value function will be lower semi-continuous with respect to the parameters. If in addition we restrict ourselves to a compact set of constraints, we have full continuity of the value function.

Committee Members:
Profs. Vytaras Brazauskas, Istvan Lauko, Richard Stockbridge, Wei Wei and Chao Zhu.

Details

Date:
June 29, 2020
Time:
11:00 am - 1:00 pm
Event Category: