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宝威体育(中国)集团有限公司题目: 杰出学者讲坛(七十三):Mean field stochastic control problems under sublinear expectation
报 告 人: 李娟 教授
宝威体育(中国)集团有限公司人所在单位: 山东大学
宝威体育(中国)集团有限公司日期: 2023-06-25
宝威体育(中国)集团有限公司时间: 10:00-11:00
宝威体育(中国)集团有限公司地点: 光华东主楼2201
   
宝威体育(中国)集团有限公司摘要:

In this talk we study Pontryagin’s stochastic maximum principle for a mean-field optimal control problem under Peng’s G-expectation. The dynamics of the controlled state process is given by a stochastic differential equation driven by a G-Brownian motion, whose coefficients depend not only on the control, the controlled state process but also on its law under the G-expectation.  Also the associated cost functional is of mean-field type. Under the assumption of a convex control state space we study the stochastic maximum principle, which gives a necessary optimality condition for control processes. Under additional convexity assumptions on the Hamiltonian it is shown that this necessary condition is also a sufficient one. The main difficulty which we have to overcome in our work consists in the differentiation of the G-expectation of parameterized random variables.

Based on joint work with Rainer Buckdahn (UBO, France), Bowen He (SDU, China). 

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本年度学院宝威体育(中国)集团有限公司总序号: 16

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