Systems of Forward-Backward Stochastic
Differential Equations with Fast and
Slow Motions and Applications
报告专家：吴付科教授（华中科技大学数学与统计学院）
报告时间：7月28日（星期二）下午16:00-17:00
报告地点：数学学院西303
报告摘要：
This work encompasses the study of coupled forward-backward stochastic differential equations with fast and slow motions and applications. First, well-posedness of the solutions and a number of estimates of the systems are established. Then our effort is focused on obtaining asymptotic results in the sense of mean-square convergence uniform in finite time interval for solutions of both forward and backward stochastic differential equations. Such asymptotic results enable us to further analyze certain associated quasi-linear partial differential equations. Finally, an application to a class of stochastic control problems using stochastic maximum principles is investigated.
专家简介：
吴付科，华中科技大学数学与统计学院教授，博士生导师，国家优秀青年基金获得者，入选教育部新世纪优秀人才支持计划。主持国家自然科学基金委重点项目、面上项目、教育部新世纪优秀人才基金、英国皇家学会“高级牛顿学者”基金和美国数学学会（AMS）访问基金等。主要从事随机微分方程以及相关领域的研究。近年来，在SIAM系列杂志, JDE,SPA等期刊发表论文90余篇。
邀请人：吕琦
