勷勤数学•专家报告

题      目：Maximum principle for stochastic recursive optimal control problem under model uncertainty

报  告  人：王法磊 教授  (邀请人：杨舟)

                                               山东大学

时      间：5月19日  15：00-16：00

地     点：数科院西楼二楼会议室

报告人简介:

          王法磊，男，山东大学青年学者未来计划入选者。2014年于山东大学概率论与数理统计专业博士毕业。获山东省优秀博士学位论文，主持国家自然科学基金项目多项。王法磊主要从事倒向随机微分方程及其应用的研究。特别在随机分析与随机控制等领域发表了若干文章。近几年来，在Stochastic Processes and their Application，Journal of Theoretical Probability, SIAM Journal on Control and Optimization等学术期刊上发表论文十余篇。

摘      要：

      In this talk, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations with uncertainty parameter , which is used to represent different market conditions. With the help of linearization techniques and weak convergence methods, we derive the corresponding stochastic maximum principle. Moreover, a linear quadratic robust control problem is also studied. As an application, we also study a type of mean-variance portfolio selection problem in this model uncertainty setup.

          欢迎老师、同学们参加、交流！