A global maximum principle for optimal control of stochastic evolution equations with recursive utilities
报告题目: A global maximum principle for optimal control of stochastic evolution equations with recursive utilities
报告专家: 刘国民（南开大学）
报告时间: 3月29日星期三，下午2:30-4:30
报告地点：国家天元数学西南中心401
报告摘要:We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum principle is given for the optimal control, allowing the control domain not to be convex and the generator of the BSDE to vary with the second unknown variable z. The associated second-order adjoint process is characterized as a unique solution of a conditionally expected operator-valued backward stochastic integral equation.
报告人简介：刘国民，南开大学数学科学学院讲师。2019年博士毕业于山东大学金融研究院，2019年至2021年于复旦大学数学科学学院从事博士后研究。主要研究领域为倒向随机微分方程、非线性期望和随机控制。在概率论方向的Stochastic Processes and their Application、Journal of Theoretical Probability等期刊上发表学术论文多篇。曾获得山东省优秀博士学位论文奖励、上海市“超级博士后”激励计划资助。主持国家自然科学基金一项。
邀请人：王艳艳
