学术报告

题      目：A general maximum principle for optimal control of stochastic differential delay systems

报  告  人：史敬涛  教授  (邀请人：杨舟 )

                                    山东大学

时      间：11月24日  10：00-11：00

地     点：数科院西楼二楼会议室

报告人简介:

        史敬涛，山东大学数学学院教授、博士生导师，概率论与数理统计研究所所长。主要从事随机控制、微分对策、正倒向随机系统、时滞随机系统与金融数学等方面的研究。曾赴美国、澳大利亚、香港、澳门等国家和地区访问交流。目前在SIAM Journal on Control and Optimization、IEEE Transactions on Automatic Control、Automatica等国际权威学术期刊发表论文40余篇，曾获教育部高等学校科学研究优秀成果奖、山东省高等学校科学技术奖、张嗣瀛（CCDC）优秀青年论文奖、中国科协期刊优秀学术论文奖等奖项，目前主持国家自然科学基金面上项目，参与国家重点研发计划、国家自然科学基金重点项目。现为中国自动化学会控制论专业委员会（TCCT）随机系统控制学组委员。

摘      要：

        This talk is concerned with a general maximum principle for a stochastic optimal control problem, where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the terminal cost) contain the control and state delay. This topic is a long standing open problem. In order to overcome the difficulty of dealing with the cross term of state and its delay in the variational inequality, we propose a new method: transform a delayed variational equation into a Volterra integral equation without delay, and introduce novel first-order, second-order adjoint equations via the backward stochastic Volterra integral equation (BSVIE) theory. Finally we express these two kinds of adjoint equations in more compact anticipated backward stochastic differential equation (ABSDE) types for several special yet typical control systems. Our result generalizes the famous Peng’s general stochastic maximum principle to the case with time delay.
Joint work with Dr. Weijun Meng (AMSS, CAS), Prof. Tianxiao Wang (Sichuan University) and Prof. Jifeng Zhang (AMSS, CAS).

        欢迎老师、同学们参加、交流！