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发布人:       发布时间: 2019-05-07 16:35:23
郭军义教授学术报告:A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance


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

报 告 人:郭军义 教授 (南开大学)

报告时间:2019年5月17日14:30-15:30

报告地点:知新楼B-1238


报告摘要:

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.


报告人简介:

郭军义教授, 南开大学数学科学学院教授, 中国数学会副理事长,中国数学、物理与高新技术学会常务理事及金融量化分析与计算委员会主任;中国概率统计学会精算专业委员会副主任;Interdisciplinary Sciences 编委;应用概率统计编委。主要从事随机过程及其在金融保险中的应用领域的研究。近年来的研究兴趣主要为保险风险理论中的最优随机控制问题,包括最优再保险,最优投资和最优分红策略等领域的研究。


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