“An intrinsic interest to learn more and make meaningful contributions to enrich the subject is what drives me,” says Prof. Mrinal K. Ghosh. A faculty member for 23 long years at the Department of Mathematics at the Indian Institute of Science (IISc), Prof. Ghosh specialises in the field of Stochastic Control and Mathematical Finance. He was recently felicitated with the prestigious Rustum Choksi Award for Excellence in Research for the year 2014 by the IISc Court.
Control Theory is a mathematical approach to modelling dynamical systems which change with time under certain feedback conditions. Stochastic Control Theory, a subset of Control Theory, deals with random uncertainties in the parameters of the system, and has had extensive applications in the field of finance since the 1970s. One such application is the Merton's Portfolio Problem, an optimisation problem for an investor's wealth where the investor invests part of their wealth in stocks, which are linked to uncertainty in terms of the returns, and the remaining in a risk-free asset. The system is usually described using the net worth as a variable. Inputs such as returns and interests on assets, which control the way the net worth changes with time, are designed in such a way as to maximise wealth despite the uncertainties. Prof. Ghosh says, “I am currently working on risk-sensitive control and its applications to finance. I am also developing a new model for political business cycle. I wish to continue my research in these areas since they deeply intrigue me.”
Prof. Ghosh has studied and worked at prestigious research institutes in India and abroad. In 1989, he obtained his doctorate from IISc under a joint fellowship from the Tata Institute of Fundamental Research (TIFR). After his Ph.D., he worked for a year as a Postdoctoral Fellow in the Department of Electrical and Computer Engineering at the University of Texas in Austin, U.S.A. Following this, he joined the University of Twente in The Netherlands as a Scientific Research Fellow of the Systems and Control Group. In 1991, he returned to the U.S.A. as a Postdoctoral Fellow in the Institute for Systems Research at the University of Maryland, College Park. He was later appointed as an Assistant Professor at IISc in 1992, promoted to Associate Professor in 1998 and then to Professor in 2004.
Prof. Ghosh's dedication towards research has brought him well-deserved accolades and recognition. He received the C. L. Chandna Award for Excellence in Teaching and Research in 2000. He is currently a Fellow of the Indian Academy of Sciences and the National Academy of Sciences, India.
Prof. Vivek Shripad Borkar from the Indian Institute of Technology, Bombay, has fostered a long scientific association with Prof. Ghosh. Commending Prof. Ghosh's achievement, he says, “I have known Mrinal for over 33 years now. He was my first Ph.D. student. He has always sustained a steady output of very high quality research in Stochastic Control — a technically difficult and challenging branch of Control Theory that simultaneously draws upon techniques from Probability, Functional Analysis, Ordinary and Partial Differential Equations. Within this area again, he has worked on some of the harder problems.”
“He can easily be placed among the leading contributors to the field worldwide,” Prof. Borkar adds. “He has also groomed a string of excellent students, some of whom are now faculty in leading institutions across the country. I believe that he is a truly worthy recipient for the Rustum Choksi Award.”
On receiving the award, Prof. Ghosh modestly says, “It feels good to be recognised for my contribution to the field.”
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