A course of lectures of Professor Poznyak (CINVESTAV-IPN, Mexico) on "Markov Chain Models in Economics, Management and Finance"
The course of lectures will be held from April 18, 2017 to April 28, 2017. All are invited!
Title: "Markov Chain Models in Economics, Management and Finance"
Intensive Lecture Course in High Economic School, Moscow Russia
Resume
∙ This course introduces a newly developed optimization technique for a wide class of discrete and continuous-time finite Markov chains models.
∙ Along with a coherent introduction to the Markov models description (controllable Markov chains classifications, ergodicity property, rate of convergence to a stationary distribution) some optimization methods (such as Lagrange multipliers, Penalty functions and Extra-proximal scheme) are discussed.
∙ Based on the these models and numerical methods Marketing, Portfolio Optimization, Transfer Pricing as well as Stackleberg-Nash Games, Bargaining and Other Conflict Situations are profoundly considered.
∙ While all required statements are proved systematically, the emphasis is on understanding and applying the considered theory to real-world situations.
Structure of the course
∙ 1-st Lecture Day:
Basic Notions on Controllable Markov Chains Models, Decision Making and Production Optimization Problem. 18 April, 9:00 - 11:50, К10
∙ 2-nd Lecture Day:
The Mean-Variance Customer Portfolio Problem: Bank Credit Policy Optimization. 21 April, 15:10 - 18:00, К10
∙ 3-rd Lecture Day:
Conflict Situation Resolution: Multi-Participants Problems, Pareto and Nash Concepts, Stackelberg equilibrium. 24 April, 15:10 - 18:00, К10
∙ 4-th Lecture Day:
Bargaining (Negotiation). 25 April, 09:00 - 11:50, К10
∙ 5-th Lecture Day:
Partially Observable Markov Chain Models and Traffic Optimization Problem. 28 April, 15:10 - 18:00, К9
About the speaker