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学术预告-Stochastic differential games and its applications in financial mathematics

发布时间: 2020-05-29 16:51:50   作者:本站编辑   来源: 本站原创   浏览次数:

讲座主题:Stochastic differential games and its applications in financial mathematics

主讲人:李文强

工作单位:烟台大学

活动时间:2019年6月1日(周一)下午14:30-15:00

讲座地点:腾讯会议ID:448374359

主办单位:烟台大学数学与信息科学学院

内容摘要:

    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.

主讲人介绍:

李文强,讲师,烟台大学数学与信息科学学院,主要从事倒向随机微分方程、随机控制、随机微分对策及金融数学等领域的研究。目前已发表学术论文5篇,其中4篇被SCI收录,1篇被EI 收录。 


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