講座主題：Stochastic differential games and its applications in financial mathematics
主講人：李文強(qiáng)
工作單位：煙臺(tái)大學(xué)
活動(dòng)時(shí)間：2019年6月1日（周一）下午14:30-15:00
講座地點(diǎn)：騰訊會(huì)議ID：448374359
主辦單位：煙臺(tái)大學(xué)數(shù)學(xué)與信息科學(xué)學(xué)院
內(nèi)容摘要：
In this talk we consider zero-sum stochastic differential games both on the finite time horizon and infinite horizon as well as the utility theory in financial mathematics. Firstly, by introducing a stochastic differential game whose dynamics and multi-dimensional cost functionals form a multi-dimensional coupled forward-backward stochastic differential equation with jumps, we give a probabilistic interpretation to a system of coupled Hamilton-Jacobi- Bellman-Isaacs equations. Then, we study a type of zero-sum stochastic differential games with long-run average payoff in which the diffusion term of the dynamics does not need to be non-degenerate, and obtain the existence of the value. Finally, an optimal forward investment problem in an incomplete market with model uncertainty is investigated by using the related zero-sum stochastic differential games. Moreover, the representation of the power robust forward performance process is obtained and the corresponding investment policy for an investor is given.
主講人介紹：
李文強(qiáng)，講師，煙臺(tái)大學(xué)數(shù)學(xué)與信息科學(xué)學(xué)院，主要從事倒向隨機(jī)微分方程、隨機(jī)控制、隨機(jī)微分對(duì)策及金融數(shù)學(xué)等領(lǐng)域的研究。目前已發(fā)表學(xué)術(shù)論文5篇，其中4篇被SCI收錄，1篇被EI 收錄。
