送彩金500的网站大白菜

当前位置: 首页 > 学术活动 > 正文
A General Stochastic Maximum Principle for Mean-field Systems with Recursive Utilities
时间:2020年06月28日 21:21 点击数:

报告人:郝涛

报告地点:腾讯会议

报告时间:2020年06月29日星期一14:00-15:00

邀请人:魏庆萌

报告摘要:

This paper focuses on investigating a global maximum principle with recursive utilities, where the controlled state process is driven by a general mean-field FBSDE. In our setting the control domain is not necessarily convex, and the diffusion coefficient depends on control, as well as the generator of mean-field BSDE depends on the joint law of (X,Y). We adopt the method of the second-order variation and borrow the notion of the second-order derivative of a function with respect to a probability measure, to solve this optimal problem. By considering a new second-order variational equation and the corresponding second-order adjoint equation, a new second-order expansion of is established. Then the optimal principle is proved with this second-order expansion.

会议网址:https://meeting.tencent.com/s/r7QirFTE3xwz

会议ID:267 861 204

主讲人简介:

2012年山东大学博士研究生毕业,主要研究方向为随机控制,金融数学,博弈论等。作为主要完成人参与省部级以上科研课题7余项,在《ESAIM: Control, Optimisation and Calculus of Variations》《Nonlinear Differential Equations and Applications》等期刊发表论文10余篇. 主要学术兼职有美国数学学会数学评论员,中国工业与应用数学学会会员,山东省应用统计学会理事等。

©2019 送彩金500的网站大白菜 版权所有

地址:吉林省长春市人民大街5268号|邮编:130024|电话:0431-85099589|传真:0431-85098237


Baidu