报告题目：Robust Control of BSDEs Coupled with Value Function

主 讲 人：杨舟

报告时间：2022年1月10日（周一）10:00--11:00

报告地点：腾讯会议，会议ID：675902352，密码：202201

报告摘要：

A robust control problem is considered in this paper, where the controlled stochastic differential equations include ambiguity parameters and satisfy some mild assumptions, the objective function is expressed as a backward stochastic differential equation with the driver depending on the value function. We establish the existence and uniqueness of the value function in proper space under some mild assumptions. And we provide the verification theorem, which shows that the solution of the associated Hamilton-Jacobi-Bellman-Isaacs equation is the unique value function under some proper assumptions. Moreover, we apply the results to solve two optimal investment problems in markets with ambiguity, one of which is with Heston stochastic volatility model. In particular, we establish some estimations for Heston model with ambiguity parameters.

主讲人简介：

杨舟，华南师范大学数学科学学院教授、博士生导师，2007年在华南师范大学获得博士学位，2009-2011年在复旦大学从事博士后研究，曾赴新加坡、韩国等地从事合作访问研究。研究领域为金融数学、自由边界问题和随机控制，主要研究方向为美式衍生产品、最优投资组合、最优停时问题、金融中的自由边界问题。部分研究成果发表于Mathematics of Operations Research、SIAM Journal on Control and Optimization、Insurance: Mathematics and Economics、Journal of Differential Equations等期刊。曾主持多项国家自然科学基金和省部级基金。

邀请人：史敬涛 数学学院教授

主办：山东大学数学学院

欢迎各位老师同学积极参加！