Research-Stochastic maximum principle under nonlinear expectation

Research

Probability & Statistics Seminar

Stochastic maximum principle under nonlinear expectation

Speaker: Mingshang Hu（Shandong University）
Time: Jun 20, 2023, 10:40-11:20
Location: M1001, College of Science Building

Abstract

In this talk, I first review some recent progress on global stochastic maximum principle for stochastic optimal control problem under g-expectation, and then the progress on stochastic maximum principle for stochastic optimal control problem under G-expectation. For the control problem under g-expectation, we first obtain the first-order and second-order variational equations and adjoint equations for forward-backward stochastic control system. For the control problem under G-expectation, we introduce a new weak convergence method to obtain the derivative for the value function. This is a joint work with Shaolin Ji and Xiaole Xue.