学术报告:11月8号16:00-17:00,南方科技大学--熊捷

发布者:吕小俊编辑:www.402.com  发布时间:2019-11-05浏览次数:13

永利皇宫数学机构邀请专家申请表

  

报告人

熊捷

单位

南方科技大学

报告题目

Leader-Follower   Stochastic Differential Game with Asymmetric Information and Applications

报告时间

118日周五

1600-1700

地点

永利皇宫数学机构第一报告厅

邀请人

张鑫

报告摘要

This talk is concerned with a   leader-follower stochastic differential game with asymmetric information,   where the information available to the follower is based on some   sub-$\sigma$-algebra of that available to the leader. Such kind of game   problems has wide applications in finance, economics and management   engineering such as newsvendor problems, cooperative advertising and pricing   problems. Stochastic maximum principles and verification theorems with   partial information will be presented. As an application, a linear-quadratic   leader-follower stochastic differential game with asymmetric information is   studied. It is shown that the open-loop Stackelberg equilibrium admits a   state feedback representation if some system of Riccati equations is   solvable. This talk is based on a joint work with Shi and Wang.

报告人简介

熊捷教授, 北京大学本科、硕士,美国北卡罗来纳州大学博士,曾任美国田纳西大学助理教授、副教授、教授,澳门大学教授,现任南方科技大学讲席教授。

熊捷教授的研究领域包括随机微分方程、马氏过程、极限理论、随机分析、数理金融等,在Annals of Probability, Probability Theory and Related Field, Annals of   Applied Probability , Stochastis Process. Appl., SIAM J. Control Optim. 等期刊发表论文90余篇。