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11月14日 张奇:Some New Results on Backward Stochastic Difference Equations and Related Control Problems
2024-11-14 14:30:00
活动主题:Some New Results on Backward Stochastic Difference Equations and Related Control Problems
主讲人:张奇
开始时间:2024-11-14 14:30:00
举行地点:普陀校区理科大楼A1714
主办单位:统计学院
报告人简介

张奇,理学博士,复旦大学数学科学学院教授,博士生导师,金融数学与控制科学系系主任。2007年毕业于山东大学数学学院(与英国拉夫堡大学联合培养),2008年在英国拉夫堡大学从事博士后研究工作,同年入职复旦大学数学科学学院。主要研究领域为倒向随机微分方程、随机偏微分方程、随机控制理论。


内容简介

In this talk, I introduce our work on the discrete-time infinite horizon backward stochastic differential equation, i.e., infinite horizon backward stochastic difference equation. The well-posedness of this equation and the discrete-time stochastic recursive control problem is studied. By introducing a proper discrete-time infinite horizon dual equation, we prove the stochastic maximum principle and the verification theorem for this recursive control problem. Finally, we apply the derived stochastic maximum principle to the optimal consumption problem arisen from a type of long-term trust fund.