学术报告-胡瑛

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2018-08-09 10:45:00

学术报告

题      目:BSDE formulation of combined regular and singular stochastic control problems

       报  告  人:胡瑛   教授  (邀请人:杨舟)

                          雷恩第一大学


时      间:2018-08-09 16:00--17:00

地      点:学院401

报告人简介:

       雷恩第一大学任职,法国的一级教授,上海市“千人计划”,复旦大学特聘讲座教授,国际著名的随机分析和随机控制专家,在倒向随机微分方程做出了卓越贡献。在概率和控制的最高级别杂志Annals of Applied Probability、Probablity Theory and Related Field、SIAM J. Control Optim.等上发表多篇论文。


摘      要:

       We study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But the BSDE formulation makes it possible to move beyond Markovian models and consider path-dependent problems. We also provide an approximation of the original control problem with standard BSDEs that yield a characterization of approximately optimal values and controls.