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學術預告-Stochastic differential games and its applications in financial mathematics

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講座主題:Stochastic differential games and its applications in financial mathematics

主講人:李文強

工作單位:煙臺大學

活動時間:2019年6月1日(周一)下午14:30-15:00

講座地點:騰訊會議ID:448374359

主辦單位:煙臺大學數學與信息科學學院

內容摘要:

    In this talk we consider zero-sum stochastic differential games both on the finite time horizon and infinite horizon as well as the utility theory in financial mathematics. Firstly, by introducing a stochastic differential game whose dynamics and multi-dimensional cost functionals form a multi-dimensional coupled forward-backward stochastic differential equation with jumps, we give a probabilistic interpretation to a system of coupled Hamilton-Jacobi- Bellman-Isaacs equations. Then, we study a type of zero-sum stochastic differential games with long-run average payoff in which the diffusion term of the dynamics does not need to be non-degenerate, and obtain the existence of the value. Finally, an optimal forward investment problem in an incomplete market with model uncertainty is investigated by using the related zero-sum stochastic differential games. Moreover, the representation of the power robust forward performance process is obtained and the corresponding investment policy for an investor is given.

主講人介紹:

李文強,講師,煙臺大學數學與信息科學學院,主要從事倒向隨機微分方程、隨機控制、隨機微分對策及金融數學等領域的研究。目前已發表學術論文5篇,其中4篇被SCI收錄,1篇被EI 收錄。 

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