讲座主题：Linear Quadratic Stackelberg Stochastic Differential Games: Closed-Loop Solvability

专家姓名：史敬涛

工作单位：山东大学

讲座时间：2021年12月22日 19:30-20:10

讲座地点：腾讯会议，会议ID：695 628 515

主办单位：烟台大学数学与信息科学学院

内容摘要：

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).

主讲人介绍：

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、澳大利亚、香港、澳门等国家和地区访问交流。目前在SIAM Journal on Control and Optimization、IEEE Transactions on Automatic Control、Automatica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、山东省高等学校科学技术奖等奖项，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子课题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。