美國德克薩斯大學達拉斯分校講席教授Vijay Mookerjee：連續随機結構模型及其應用

【主講】美國德克薩斯大學達拉斯分校講席教授Vijay Mookerjee

【題目】連續随機結構模型及其應用

【時間】2017年12月4日 (周一)13:30-15:00

【地點】清華經管學院 偉倫樓401

【語言】英文

【主辦】管理科學與工程系

【簡曆】Prof. Vijay S. Mookerjee的簡曆

Prof. Vijay S. Mookerjee is the Charles and Nancy Davidson Chair in Information Systems at the Naveen Jindal School of Management, UT Dallas. His current research interests include social networks, optimal software development methodologies, storage and cache management, content delivery systems, and the economic design of expert systems and machine learning systems. He serves (or has served）on the editorial board of several premium journals such as Management Science, and was a senior editor of Information Systems Research. In 2011, he was named a distinguished fellow of the Information Systems Society of INFORMS.

【摘要】This tutorial is intended for PhD students and interested faculty. We will discuss econometric techniques for the estimation of the parameters of continuous time stochastic processes. Next, we will introduce a “controlled” stochastic process and discuss the impact of the control on the structural estimation of its parameters. Our focus will be on continuous models, using Stochastic Differential Equations (SDEs). Some applications in the Information Systems area will be provided.