报告题目：Leader-Follower Stochastic Differential Game with Asymmetric Information and Applications

报 告 人：熊捷教授（南方科技大学）

报告时间：2019年4月7日 16:00

报告地点：数统院307学术报告厅

报告摘要：

This talk is concerned with a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub-σ-algebra of that available to the leader. Such kind of game problems has wide applications in finance, economics and management engineering such as newsvendor problems, cooperative advertising and pricing problems. Stochastic maximum principles and verification theorems with partial information will be presented. As an application, a linear-quadratic leader-follower stochastic differential game with asymmetric information is studied. It is shown that the open-loop Stackelberg equilibrium admits a state feedback representation if some system of Riccati equations is solvable. This talk is based on a joint work with Shi and Wang.

报告人简介：

熊捷，南方科技大学数学系教授，于1983年获北京大学数学系学士学位，1986年获得北京大学统计专业硕士学位，1990年获美国北卡罗来纳州大学教堂山分校（UniversityofNorthCarolinaatChapelHill）博士学位。熊捷教授于1993-2014年在美国田纳西大学（UniversityofTennessee）担任助理教授、副教授、教授；2014年至2017年，任澳门大学教授以及田纳西大学兼职教授。熊教授的研究领域包括随机微分方程、马氏过程、极限理论、随机分析、数理金融等，在Annals of Probability, Probability Theory and Related Field, Annals of Applied Probability, Stochastis Process. Appl., SIAM J. Control Optim.等国际顶尖SCI杂志发表论文80余篇。