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Backward Stochastic Differential Equations Driven by G-Brownian Motion with Subdifferential Operator

来源:李莹发稿时间:2017-06-29浏览次数:185

报告人任永安徽师范大学

题目:Backward Stochastic Differential Equations Driven by G-Brownian Motion with Subdifferential Operator

报告时间:2017629日(周四)上午 9:00-10:00

报告地点:数学学院A302

报告摘要:

In concrete applications in finance market, model uncertainty and with constraints often exist. To describe these phenomena, in this talk, I firstly introduce the theory of G-Brownian motion and Ito calculus established mainly by Prof. Shige Peng. In the second part, I will give our works on multivalued stochastic differential equations and its related stochastic optimal control. In the third part, I will briefly introduce our works on multivalued backward stochastic differential equations and its application in the probabilistic interpretation in a class of multi-valued nonlinear PDEs.

报告人简介:

永,安徽师范大学教授,博士生导师,安徽省学术和技术带头人。1998年获安徽师范大学数学系学士学位,2003年获安徽师范大学应用数学专业硕士学位,2006年获华东理工大学应用数学专业博士学位2008-2010年受ARC资助在澳大利亚塔斯马尼亚大学进行博士后研究。现任安徽师范大学数学计算机科学学院院长。主要研究方向为倒向随机微分方程,泛函型随机微分方程,随机控制等。主持过三项国家自然科学基金项目和安徽省杰出青年基金项目等,发表SCI收录论文70多篇,曾获得过霍英东教育基金会高等院校青年教师奖以及安徽省科学技术奖等荣誉称号。