Some optimization problems with partial information

报告题目：Some optimization problems with partial information

报告人：  熊捷教授

报告时间：2021年6月21日15：00

报告地点：数学学院A302

报告人简介：熊捷教授现为南方科技大学讲席教授，1983年本科毕业于北京大学，1992年获得美国北卡罗来纳大学教堂山分校博士学位。1993年加入美国田纳西大学数学系，1999年晋升为副教授并获终身教职；2004年晋升为教授；2012年受邀加盟澳门大学，任终身教授，2017年加盟南方科技大学数学系，任讲席教授。

熊捷教授的研究重点是随机滤波与控制及其应用，尤其是与金融数学与生物数学相关的数学问题。他的工作的一个显著特点是严谨的数学和真实应用的有机结合。已在Springer、IMS Monograph、牛津大学出版社和世界科学出版社出版专著4本，在Annals of Probability、Probability Theory and Related Fields等世界一流杂志发表学术论文100余篇。

报告摘要：In this talk, I will report some research work undertaken in last ten years for stochastic optimal control when the information available to the investors is not complete. The main motivation of these research is from various optimization problems arising from mathematical finance. First, I will introduce the theory of nonlinear filtering which is one of the main tool used in these researches. Next, I will introduce the mean-variance problem under partial information based on a joint work with Xunyu Zhou. After that, we consider the general stochastic maximum principle under partial information when the separation principle is not applicable. This part is based on some joint papers with James Huang, Guangchen Wang and Zhen Wu. Finally, we will discuss a stochastic game under various information structure. This part is based on a joint work with Jingtao Shi and Guangchen Wang.

欢迎各位老师和研究生参加！