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。
