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.

欢迎各位老师同学积极参加！