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Leader-Follower Stochastic Differential Game with Asymmetric Information and Applications
澳门新葡8455最新网站:2016年01月04日 00:00 点击数:

报告人:史敬涛

报告地点:澳门新葡8455最新网站615室

报告澳门新葡8455最新网站:2016年01月18日星期一10:00-11:00

邀请人:

报告摘要:

In this talk, we will discuss a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub-σ-algebra of that available to the leader. Such kind of game problem has wide applications in finance, economics and management engineering such as newsvendor problems, cooperative advertising and pricing problems. Stochastic maximum principles and verification theorems with partial information are obtained, to represent the Stackelberg equilibrium. As applications, a linear-quadratic leader-follower stochastic differential game with asymmetric information is studied. It is shown that the open-loop Stackelberg equilibrium admits a state feedback representation if some system of Riccati equations is solvable.

主讲人概况:

史敬涛,山东大学数学与系统科学新葡京最新官网副教授。曾赴香港理工大学、澳门大学、澳大利亚阿德莱德大学、澳大利亚新南威尔士大学访问交流。主要研究方向为随机控制、微分对策、时滞随机系统与金融数学,曾获中国科协期刊优秀学术论文奖(1/2)、第22届中国控制与决策会议张嗣瀛优秀青年论文奖(独立),曾主持国家自然科学青年基金项目、数学天元青年基金项目各1项,目前主持国家自然科学基金面上项目1项。

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