邮箱 English

Probability & Statistics Seminar

An LQ differential game of stochastic large-population system with partial information

  • 演讲者:王光臣(山东大学)

  • 时间:2021-09-16 14:30-15:30

  • 地点:腾讯会议 ID 533 300 317

Abstract

This talk is concerned with an LQ differential game of stochastic large-population system under partial information and common noise, where the large-population system satisfies a backward rather than forward SDE, and both coupling structure and solution of the backward SDE enter state equation and cost functional. Combining maximum principle with optimal filtering, we derive an optimal control of a limiting control problem first, and then, we verify that a decentralized control strategy is an epsilon-Nash equilibrium point of the game. We also work out an example to illustrate the results above.


报告人简介

王光臣,山东大学控制科学与工程学院教授,青年长江学者。一直从事基于不完备信息的随机系统优化控制理论研究,取得了以倒向分离原理为特色的创新成果,在 Springer 出版社出版专著 1 部,在控制理论国际期刊 SIAM J. Control Optim.、Automatica 和 IEEE TAC 发表学术论文多篇,目前主持国家杰出青年基金项目1 项,曾获陈翰馥奖1 项,省部级科技奖3 项。