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郭军义教授学术报告:A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance

发布时间:2019-05-07     来源:    点击数:


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.


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