Mean field stochastic control problems under sublinear expectation

主题：Mean field stochastic control problems under sublinear expectation 主讲人：李娟 时间：2023-11-28 14:00:00 地点：松江校区2号学院楼331室 组织单位：理学院统计系 主讲人简介：李娟教授，女、山东大学数学学院教授、博士生导师，2012年获得首届国家优秀青年基金，2013年度获教育部新世纪优秀人才支持计划，2016年获得牛顿高级学者基金项目；2017年获教育部长江学者特聘教授。现任山东大学（威海）数学与统计学院副院长，多个国际SCI期刊的编委。主持多项国家与省部级项目，主要研究方向为随机分析、随机控制、倒向随机微分方程与金融数学。内容摘要：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 a joint work with Rainer Buckdahn (UBO, France), Bowen He (SDU, China).主持人：闫理坦 视频： 摄影： 撰写：李学元 信息员：唐晓亮 编辑：高坤