报告人：张帅琪
报告地点：数学与统计学院415室
报告时间：2018年11月14日星期三15:30-16:30
报告摘要：
In this talk, by a variational method and a filtering technique, a stochastic maximum principle for partially-observed optimal control problem with delay is developed. Also, a sufficient condition without assumption of the concavity is presented. Our results are applied to an example of investment problem. By a discretization technique, numerical scheme for forward-backward stochastic differential equations (FBSDEs) with delay and anticipate terms is proposed, and its numerical simulation is shown. Also, a linear quadratic control problem is given, which is not a special case of the above one. At last, by HJB equation, explicit expressions for the optimal value functions and the corresponding optimal strategies are obtained. Furthermore, both full and partial information schemes are simulated and compared. i.e., the utility is higher in the full information case than it in the partial case.
主讲人简介：
张帅琪 2012年中南⼤学数学院博⼠毕业；澳门⼤学博⼠后。⼴东⼯业⼤学硕⼠⽣导师，美国数学会评论员。研究⽅向有 ⾮线性滤波，随机控制，保险精算，随机分析。迄今在⾃动化Top Journal —Automatica（⼀区，影响因⼦6.165)接收论⽂⼀篇，在精算领域权威期刊ScandinavianActuarial Journal，以及中国科学:数学 ， 中国科学：信息科学，Stochastic Analysis and its Application等刊物发表论⽂。主持国家⾃然科学基⾦青年基⾦⼀项，完成省⾃然科学基⾦⼀项。
