講座主題：Linear Quadratic Stackelberg Stochastic Differential Games: Closed-Loop Solvability
專(zhuān)家姓名：史敬濤
工作單位：山東大學(xué)
講座時(shí)間：2021年12月22日 19:30-20:10
講座地點(diǎn)：騰訊會(huì)議,，會(huì)議ID：695 628 515
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：
This talk is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The notion of the closed-loop solvability is introduced, which require to be independent of the initial state. The follower’s problem is solved first, and the closed-loop optimal strategy is characterized by a Riccati equation, together with an adapted solution to a linear backward stochastic differential equation. Then the necessary conditions of the existence of the leader’s non-anticipating closed-loop optimal strategy is obtained via a system of cross-coupled Riccati equations. The sufficiency is open since the completion-of-square method is invalid.
Joint work with Dr. Zixuan Li (SDU).
主講人介紹：
史敬濤,，山東大學(xué)數(shù)學(xué)學(xué)院教授,、博士生導(dǎo)師,。主要從事隨機(jī)控制,、微分對(duì)策,、正倒向隨機(jī)系統(tǒng),、時(shí)滯隨機(jī)系統(tǒng)與金融數(shù)學(xué)等方面的研究,。曾赴美國(guó),、澳大利亞,、香港、澳門(mén)等國(guó)家和地區(qū)訪(fǎng)問(wèn)交流,。目前在SIAM Journal on Control and Optimization,、IEEE Transactions on Automatic Control、Automatica等國(guó)際學(xué)術(shù)期刊發(fā)表論文30余篇,，曾獲中國(guó)科協(xié)期刊優(yōu)秀學(xué)術(shù)論文獎(jiǎng),、張嗣瀛優(yōu)秀青年論文獎(jiǎng)、山東省高等學(xué)?？茖W(xué)技術(shù)獎(jiǎng)等獎(jiǎng)項(xiàng),，主持和參與多項(xiàng)國(guó)家和山東省自然科學(xué)基金項(xiàng)目,，參與國(guó)家重點(diǎn)研發(fā)計(jì)劃子課題和國(guó)家自然科學(xué)基金重點(diǎn)項(xiàng)目。現(xiàn)為中國(guó)自動(dòng)化學(xué)會(huì)控制論專(zhuān)業(yè)委員會(huì)隨機(jī)系統(tǒng)控制學(xué)組委員,。
