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Spike Variations for Stochastic Volterra Integral Equations

  • 演讲者:王天啸(四川大学)

  • 时间:2022-06-22 15:00-16:00

  • 地点:腾讯会议 ID 585 560 286

Abstract

Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal control for deterministic and stochastic differential equation systems when the control domains are not assumed to be convex. It is expected that such a technique could be extended to the case of (forward) stochastic Volterra integral equations (FSVIEs). However, due to the lack of differentiability, the straightforward extension does not work. This report is to develop spike variations for FSVIEs and the corresponding cost functionals.


简介:王天啸,四川大学数学学院副教授、博士研究生导师。主要从事随机分析,随机最优控制理论等方面的研究。曾赴美国中佛罗里达大学、堪萨斯大学、香港理工大学等高校访问交流。主持国家自然科学基金青年项目、面上项目各一项,并参与一项国家重点项目。论文发表期刊包括《 SIAM J. Control Optim.》,《IEEE Trans. Automat. Control》,《ESAIM: Control Optim. Calc. Var.》,《Appl. Math. Optim.》,《Insurance: Math. Econom.》,《Stochastic Process Appl.》,《Quant. Finance》等。