报告题目：Closed-loop equilibrium strategies for general time-inconsistent optimal control problems with random coefficients

主 讲 人：王天啸

报告时间：2020年12月11日（周五）9:30-10:30

报告地点：腾讯会议 ID：555 958 085

报告摘要：

In this report we discuss a general time-inconsistent optimal control problem with a random coefficient model and a random objective function that depends on the initial time, initial state, and expected terminal state. We derive a variational relation in the integral form for the closed-loop equilibrium strategy in terms of the solutions to a system of backward stochastic partial differential equations (BSPDEs), which can be further simplified in the pointwise form under the Markovian setting and specific models in non-Markovian setting. We compare and recover the results of some well-known models, including classical optimal control, Bjork et al. (2017), He and Jiang (2019), and Yong (2012) models. We illustrate the usefulness of the model and the results by a number of examples, including mean-variance with state-dependent risk aversion, investment/consumption with non-exponential discounting, and utility-deviation-risk portfolio selection with coupled terminal state and expected terminal state. Joint work with Harry Zheng.

主讲人简介：

王天啸，博士毕业于山东大学，现为四川大学副教授，研究方向为倒向随机Volterra积分方程，时间不一致的最优控制问题，相关工作发表在《SIAM J. Control Optim》，《Stochastic Process. Appl.》，《IEEE Trans. Automat. Control》,《Insur. Math. Econ》,《Quant. Finance》等期刊。

邀请人：胡明尚教授

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