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统计学院学术报告

发布日期 : 2019-11-04 浏览次数 :

报告人:史敬涛

报告时间:2019年117日下午3:00-6:00

报告地点:统计学院213会议室

报告题目(一)An Optimal Investment Problem under Correlated Noises: Risk-Sensitive Stochastic Control Approach

报告摘要:This talk is concerned with a risk-sensitive stochastic control problem, motivated by an optimal investment problem under correlated noises in the financial market. A new stochastic maximum principle for this kind of problem is obtained first, where the adjoint equations and maximum condition heavily depend on the risk-sensitive parameter and the correlation coefficient. Then the theoretical result is applied to the optimal investment problem with correlated noises, and the optimal investment strategy is obtained in a state feedback form, under a critical condition satisfied by the risk-sensitive parameter and the correlation coefficient. Numerical simulation and figures are given to explicitly illustrate the change and the sensitivity for optimal solution with respect to the risk-sensitive parameter and the correlation coefficient. Joint work with Ms. Le Yang and Mr. Yueyang Zheng.

报告题目(二):A Stackelberg Game of Backward Stochastic Differential Equations with Partial Information

报告摘要:This talk is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub-σ-algebra of that of the leader. Necessary and sufficient conditions of the optimality for the follower and the leader are first given for the general problem, by the partial information stochastic maximum principles of BSDEs and forward-backward stochastic differential equations (FBSDEs), respectively. Then a linear-quadratic (LQ) Stackelberg game of BSDEs with partial information is investigated. The state estimate feedback representation for the optimal control of the follower is first given via two Riccati equations. Then the leader's problem is formulated as an optimal control problem of FBSDE. Four high-dimensional Riccati equations are introduced to represent the state estimate feedback for the optimal control of the leader. Theoretic results are applied to a pension fund management problem of two players in the financial market. Joint work with Dr. Yueyang Zheng.

报告人简介史敬涛,山东大学数学学院教授、博士生导师。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、英国、瑞典、日本、澳大利亚、新加坡、香港、澳门等国家和地区访问交流。目前在IEEE Transactions on Automatic Control、Automatica,、SIAM Journal on Control and Optimization等国际学术期刊发表论文30余篇,曾获中国科协期刊优秀学术论文奖、张嗣瀛优秀青年论文奖、山东省高等澳门银河官网科学技术奖等奖项,主持和参与多项国家和山东省自然科学基金项目,参与国家重点研发计划和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随机系统控制学组委员。

 

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