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报告题目: 杰出学者讲坛(三十二):Representation of limit values for nonexpansive stochastic differential games
报 告 人: 李娟 教授
报告人所在单位: 山东大学
报告日期: 2019-03-15 星期五
报告时间: 15:30
报告地点: 光华东主楼1501
   
报告摘要:

A classical problem in ergodic control theory consists in the study of the limit behaviour of
$/lambda V$ as $/lambda↘ 0$; when $V_/lambda$ is the value function of a deterministic or stochastic control problem with discounted cost functional with infinite time horizon and discount factor $/lambda$. We study this problem for the lower value function $V_/lambda$ of a stochastic differential game with recursive cost, i.e.,the cost functional is defined through a backward stochastic differential equation with infinite time horizon. But unlike the ergodic control approach, we are interested in the case where the limit can be a function depending on the initial condition. For this we extend the so-called non-expansivity assumption from the case of control problems to that of stochastic differential games. Based on a joint work with Rainer Buckdahn (Brest, France), Nana Zhao (Weihai, China).

 

李娟教授,山东大学(威海校区)教授,博士生导师。主要研究领域为随机分析、随机控制、随机微分对策、倒向随机微分方程与金融数学。已发表论文40余篇,发表杂志包括Annals of Probability,Annals of Applied Probability和SIAM J. Control Optim.等。2012年获得首届国家自然科学基金优秀青年基金;入选2013年度教育部新世纪优秀人才支持计划;2016年获得中英人才项目牛顿高级学者基金项目;2017年入选教育部长江学者特聘教授。

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本年度学院报告总序号: 1

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