講座主題：Stochastic differential games and its applications in financial mathematics
主講人：李文強
工作單位：煙臺大學
活動時間：2019年6月1日（周一）下午14:30-15:00
講座地點：騰訊會議ID：448374359
主辦單位：煙臺大學數(shù)學與信息科學學院
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,，講師,，煙臺大學數(shù)學與信息科學學院,，主要從事倒向隨機微分方程、隨機控制,、隨機微分對策及金融數(shù)學等領域的研究。目前已發(fā)表學術(shù)論文5篇,，其中4篇被SCI收錄,，1篇被EI 收錄,。
