报 告 人: 赵慧 天津大学数学学院副教授
报告时间: 2024年4月12日18:30
报告地点:腾讯会议: 949-805-812
报告摘要:This paper formulates a general time-inconsistent linear quadratic mean-field Stackelberg differential game. We define the equilibrium strategies for the follower and the leader, which are two open-loop controls. The sufficient conditions for equilibrium controls are derived via two flows of forward-backward stochastic differential equations. Finally, we consider a stackelberg game between a pension manager and policy holders as an application. Applying the general sufficient condition, we obtain explicit equilibrium strategies for the pension manager and policy holders.
报告人简介:天津大学数学学院副教授,现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员、中国优选法统筹法与经济数学研究会量化金融与保险分会理事,中国现场统计研究会风险管理与精算分会理事,天津市工业与应用数学学会理事。主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。曾获第十八届天津市社会科学优秀成果奖三等奖。在金融和精算领域期刊《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Scandinavian Actuarial Journal》、《Astin Bulletin》等发表论文30余篇。入选天津市131创新型人才培养工程第三层次人选和天津大学北洋学者。