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Infinite Horizon FBSDEs and Open-Loop Optima Controls for Stochastic LQ Problems with Random Coefficients

  • 演讲者:魏庆萌(东北师范大学)

  • 时间:2021-12-15 10:00-11:00

  • 地点:腾讯会议 ID 442408656

Abstract 

In this talk, we introduce a new infinite horizon domination-monotonicity framework. In this framework, by the method of continuation and some subtle techniques, we obtain an existence and uniqueness result and a pair of estimates for the solutions to a kind of infinite horizon coupled forward-backward stochastic differential equations (FBSDEs, for short). Then, the theoretical result of FBSDEs is applied to solve a stochastic linear-quadratic (LQ, for short) optimal control problem with random time-varying coefficients on infinite horizon. The unique open-loop optimal control is characterized by the solution of an infinite horizon FBSDE. Moreover, we find and illustrate a different phenomenon between the LQ problems on infinite horizon and finite horizon. 


报告人简介:魏庆萌,东北师范大学副教授,博士生导师,吉林省创新拔尖人才。 2013 年博士毕业于山东大学,博士毕业论文被评为山东省优秀博士学位论文。获得国家自然科学面上项目资助、国家自然科学青年基金资助、吉林省优秀青年人才基金等多项资助。主要研究方向是随机控制、金融数学,研究论文发表在 SICON 、ESAIM: COCV,SPA、Science China: Mathematics 等国际知名期刊。