报 告 人：史敬涛 副教授（山东大学）
报告题目：Connection between MP and DPP for Stochastic Recursive Optimal Control Problems
报告时间：2017年4月24 日（周一）10:00-11:00
报告地点：静远楼1506报告厅
报告人简介：
史敬涛，山东大学数学学院副教授，硕士生导师。2009年12月于山东大学数学学院获博士学位。主要研究方向为随机最优控制、倒向随机微分方程、金融数学与时滞随机系统，发表SCI、EI论文四十多篇，主持多项国家和省部级科研基金项目。2007年获第5届中国科协期刊优秀学术论文奖，2010年获第22届中国控制与决策会议张嗣瀛优秀青年论文奖，2012年获第12届控制、自动化、机器人与视觉国际会议最佳论文提名奖，2013年获得山东省高等学校优秀科研成果奖。
报告摘要：
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 J. Yong and X. 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 M. Hu [Stochastic global maximum principle for optimization with recursive utilities, Probability, Uncertainty and Quantitative Risk, Vol. 2, Article 1, 20 pages, 2017].This talk is based on a joint work with Dr. Tianyang Nie and Prof. Zhen Wu (arXiv 2016).