数学院留学归国人员系列学术报告

报告题目：Stochastic differential games and its applications in financial mathematics

报告人:  李文强 讲师 （烟台大学数学与信息科学学院）

报告时间: 2020年6月1日（周一）下午14:30-15:00

报告地点: 腾讯会议 ID：448374359

内容摘要：

In this talk we consider zero-sum stochastic differential games both on the finite time horizon and infinite horizon as well as the utility theory in financial mathematics. Firstly, by introducing a stochastic differential game whose dynamics and multi-dimensional cost functionals form a multi-dimensional coupled forward-backward stochastic differential equation with jumps, we give a probabilistic interpretation to a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations. Then, we study a type of zero-sum stochastic differential games with long-run average payoff in which the diffusion term of the dynamics does not need to be non-degenerate, and obtain the existence of the value. Finally, an optimal forward investment problem in an incomplete market with model uncertainty is investigated by using the related zero-sum stochastic differential games. Moreover, the representation of the power robust forward performance process is obtained and the corresponding investment policy for an investor is given.

报告人简介:

李文强，讲师，烟台大学数学与信息科学学院，主要从事倒向随机微分方程、随机控制、随机微分对策及金融数学等领域的研究。目前已发表学术论文5篇，其中4篇被SCI收录，1篇被EI 收录。