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Backward doubly stochastic Volterra integral equations and applications to optimal control problems
澳门新葡8455最新网站:2019年10月29日 16:44 点击数:

报告人:温家强

报告地点:澳门新葡8455最新网站515室

报告澳门新葡8455最新网站:2019年11月02日星期六10:00-11:00

邀请人:魏庆萌

报告摘要:

Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-solutions is established. A comparison theorem for BDSVIEs is proved. By virtue of the comparison theorem, we derive the existence of solutions for BDSVIEs with continuous coefficients. Furthermore, a duality principle between linear (forward) doubly stochastic Volterra integral equation (FDSVIE, for short) and BDSVIE is obtained. A Pontryagin type maximum principle is also established for an optimal control problem of FDSVIEs.(Joint work with Yufeng Shi and Jie Xiong)

主讲人概况:

温家强教授, 山东大学(2018年)博士毕业,师从石玉峰教授,博士期间曾赴美国UCF联合培养,合作导师为雍炯敏教授;2018年6月毕业后曾短暂赴香港理工大学做研究助理;2018年10月到现在,在南方科技大学跟随熊捷讲席教授做博士后。主要从事BSDE的相关理论及控制问题的研究,目前已发表或接受SCI论文7篇。

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