讲座题目： Connection between MP and DPP for Stochastic Recursive Optimal Control Problems

主讲人： 史敬涛副教授，山东大学

主持人： 周清

时间：2017年1月10日（周二）上午 10:00-11:00

地点：主楼1214

摘要：

This talk deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. After some review of classical results in the literatures, we focus on the connection between the general maximum principle and the dynamic programming principle for such control problem without the assumption that the value is smooth enough, the set inclusions among the sub- and super-jets of the value function and the first-order and second-order adjoint processes as well as the generalized Hamiltonian function are established. Moreover, by comparing these results with the classical ones in Yong and Zhou [Stochastic Controls: Hamiltonian Systems and HJB Equations, Springer-Verlag, New York, 1999], it is natural to obtain the first- and second-order adjoint equations of Hu [Direct method on stochastic maximum principle for optimization with recursive utilities, arXiv:1507.03567v1 [math.OC], 13 Jul. 2015].

This talk is based on a joint work with Dr. Tianyang Nie and Prof. Zhen Wu.

报告人简介：

史敬涛，2003年硕士毕业于山东大学数学与系统科学学院并留校任助教，2005年任讲师，2009年博士毕业于山东大学数学学院，2010年任副教授。曾赴香港理工大学、澳门大学、澳大利亚阿德莱德大学、新南威尔士大学、悉尼大学访问交流。主要研究方向为随机控制、微分对策、时滞随机系统与金融数学，在IEEE Transactions on Automatic Control, Automatica, ESAIM: Control, Optimisation and Calculus of Variations, International Journal of Control, Systems & Control Letters, Applied Mathematics and Optimization, Journal of Optimization Theory and Applications等国际著名学术期刊发表SCI论文十余篇，曾获中国科协期刊优秀学术论文奖（1/2）、第22届中国控制与决策会议张嗣瀛优秀青年论文奖（独立），曾主持国家自然科学青年基金项目、数学天元青年基金项目各1项，目前主持国家自然科学基金面上项目1项。