报 告 人: Harry Zheng 教授, 英国帝国理工学院
报告时间:2024年4月8日下午3: 30 - 4: 30
报告地点:18体育新利本部览秀楼105学术报告厅
Abstract: We discuss a general multidimensional linear convex stochastic control problem with nondifferentiable objective function, control constraints, and random coefficients. We formulate an equivalent dual problem, prove the dual stochastic maximum principle and the relation of the optimal control, optimal state, and adjoint processes between primal and dual problems, and illustrate the usefulness of the dual approach with some examples. (Joint work with Engel J.C. Dela Vega)
报告人简介:Harry Zheng,英国帝国理工学院教授,从事随机控制、金融数学领域研究,在Operations Research; Mathematics of Operations Research; SIAM Journal on Control and Optimization; Finance and Stochastics; Mathematical Finance; SIAM Journal on Financial Mathematics; Journal of Economic Dynamics and Control; Quantitative Finance等期刊发表数十篇论文。