Title: A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance

Speaker: Prof. Guo Junyi(Nankai University)

Time: 14:30-15:30 May 17, 2019

Venue: B-1238 Zhixin Building

Abstract:

Based on the theory of stochastic differential equations on a sublinear expectation space, we develop a stochastic maximum principle for a general stochastic optimal control problem, where the controlled state process is a stochastic differential equation driven by G-Brownian motion. Furthermore, under some convexity assumptions, we obtain sufficient conditions for the optimality of the maximum in terms of the H-function. Finally, applications of the stochastic maximum principle to the mean-variance portfolio selection problem in the financial market with ambiguous volatility is discussed.