报 告 人：李娟 教授（山东大学威海分校）
报告题目：Mean-field stochastic differential equations and associated PDEs
报告时间：2018年11月14日（周三）下午4：00
报告地点：静远楼1506学术报告厅
报告人简介：
李娟教授，山东大学威海分校数学与统计学院副院长，教授，博士生导师。主要研究领域为随机分析、随机控制、随机微分对策、倒向随机微分方程与金融数学。2012年获得首届国家自然科学基金优秀青年基金和山东省自然科学基金杰出青年基金；入选2013年度教育部新世纪优秀人才支持计划；2016年获得牛顿高级学者基金项目。目前担任多个SCI期刊的编委，在概率论及相关领域权威SCI期刊Annals of Probability，Annals of Applied Probability和SIAM J. Control Optim.等发表论文40多篇。
报告摘要：
We consider a mean-field stochastic differential equation (with or without jumps), also called McKean-Vlasov equation. We characterize its related value function V under appropriate regularity conditions on the coefficients as the unique classical solution of a non-local PDE of mean-field type (with or without jumps), involving the first and second order derivatives of V with respect to its space variable and the probability law.
The talk is based on joint works with Rainer Buckdahn (UBO, Brest, France), Tao Hao (SUFE, Jinan, P.R. China), Shige Peng (SDU, Jinan, P.R. China) and Catherine Rainer (UBO, Brest, France).