时间: 2017年6月30日(周五)下午13:30-14:30
地点: 统计楼103
报告人: Professor Yaozhong Hu, University of Kansas, USA
题目：The Expected Time Approach to Optimal Adjustment Problems: Application to Domestic Energy Prices
摘要：We offer a novel approach for solving optimal adjustment problems. Our approach relies on characterizingthe expected time to hit lower and upper barriers. Using this approach we are able to generate an analyticalsolution for the problem, which does not require solving a PDE or running Monte-Carlo simulations. As a casestudy, we apply our framework and solution approach to characterize the optimal policy for adjusting domesticenergy prices. In countries following administratively-set energy price rules, the government or the regulatorperiodically adjust announced prices of energy. One key example is the domestic gasoline prices adjusted tointernational market prices. The global price of gasoline and the exchange rate are both stochastic and thusthe domestic prices will deviate from their basic rule; however, since re-announcing the price is costly forsuppliers, the government may revise prices only one or twice a year. Our results provide insights forthe optimal revision period. This is a joint work with Yiying Cheng, Hamed Ghoddusi and Chihoon Lee.