报告题目：Maximum principle for discrete-time stochastic control problem of mean-field type
报告人：聂天洋（山东大学）
主持人：ok138cn太阳集团529副院长郭洪峰教授
报告地点：舜耕校区实验楼507
报告时间：2023年5月14日（周日）14：30—15：30
主办单位：ok138cn太阳集团529
摘要：In this talk, a discrete-time mean-field type stochastic optimal control problem is studied. The goal is to derive the stochastic maximum principle with convex control domains. L-derivative is applied to handle the mean-field term and a technique of adjoint operator is used to overcome the difficulties of obtaining adjoint equations and duality relation. Then, the stochastic maximum principle for discrete-time mean-field type stochastic optimal control problem is established. Finally, as an illustration of our stochastic maximum principle, a discrete-time mean-variance portfolio selection problem is solved with the decoupling technique which is different from the continuous-time case. This talk is based on the joint work with Bozhang Dong and Prof. Zhen Wu.
报告人简介：聂天洋，山东大学数学学院教授，博士生导师，副院长。国家优秀青年基金获得者和山东省杰出青年基金获得者，山东大学杰出中青年学者。曾获山东省自然科学奖二等奖（独立）、第十二届山东省青年科技奖（独立）、首届山东省自动化学会自然科学奖（张嗣瀛奖）一等奖（独立）、山东省第九届教学成果奖特等奖、山东省高校科学技术奖。研究方向为倒向随机微分方程、随机控制、金融数学等。在Math. Finance, Finance Stoch., SIAM J. Control Optim., Automatica, Electron. J. Probab., Stochastic Process. Appl.等数理金融、随机控制和随机分析领域的权威期刊发表论文多篇。研究成果被法国A. Bensoussan院士，俄罗斯A. Shiryaev院士，美国T. Basar院士等国际著名学者公开引用评述，产生了一定的学术影响。