勷勤数学•专家报告

题      目：Equilibria for Time-Inconsistent Singular Control Problems

报  告  人： 袁冯毅 教授  (邀请人：杨舟)

                                          香港中文大学（深圳）

时      间： 3月20日  10：00-11:00

地     点：数科院西楼二楼会议室

报告人简介:

        Fengyi Yuan is an Assistant Professor at School of Science and Engineering (SSE) of the Chinese University of Hong Kong, Shenzhen. He obtained his B.Sc. (2019) and Ph.D. (2024) from Department of Mathematical Sciences, Tsinghua University. Before his current position, he was a Byrne Research Assistant Professor at the University of Michigan, Ann Arbor from 2024 to 2025, working in the group led by Prof. Erhan Bayraktar.

摘      要：

       We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with nonexponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For the problem with nonexponential discount, both sufficient and necessary conditions are derived, providing a thorough mathematical characterization of the equilibrium. Specifically, the equilibrium can be characterized by an extended HJB system, which is a coupled system of nonlocal parabolic equations with free boundaries. Finally, by showing the existence of classical solutions to the extended HJB system, the existence of equilibria is established under some additional assumptions.

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