活動時間：2023-11-28 14:00
活動地點：2号學院樓331
主講人：李娟
主講人中文簡介：
李娟教授，女、山東大學數學學院教授、博士生導師，2012年獲得首屆國家優秀青年基金，2013年度獲教育部新世紀優秀人才支持計劃，2016年獲得牛頓高級學者基金項目；2017年獲教育部長江學者特聘教授。現任山東大學（威海）bevictor伟德官网副院長，多個國際SCI期刊的編委。主持多項國家與省部級項目，主要研究方向為随機分析、随機控制、倒向随機微分方程與金融數學。
活動内容摘要：
In this talk we study Pontryagin's stochastic maximum principle for a mean-field optimal control problem under Peng's G-expectation. The dynamics of the controlled state process is given by a stochastic differential equation driven by a G-Brownian motion, whose coefficients depend not only on the control, the controlled state process but also on its law under the G-expectation. Also the associated cost functional is of mean-field type. Under the assumption of a convex control state space we study the stochastic maximum principle, which gives a necessary optimality condition for control processes. Under additional convexity assumptions on the Hamiltonian it is shown that this necessary condition is also a sufficient one. The main difficulty which we have to overcome in our work consists in the differentiation of the G-expectation of parameterized random variables. Based on a joint work with Rainer Buckdahn (UBO, France), Bowen He (SDU, China).
主持人：闫理坦