报告题目：Sub-value and Sup-value of a Stochastic Differential Game on Diffusion Processes

报 告 人：罗尚真教授（美国北爱荷华大学）

报告时间：2024年6月29日  10:30

报告地点：理学院格物楼528

报告摘要：

In this research, we solve an exit probability game between two players each of whom controls a linear diffusion process. One player controls its process to minimize the probability that the difference of the processes reaches a low level before it reaches a high level, while the other player aims to maximize the probability. By solving the Bellman-Isaacs equations, we find the sub-value and sup-value functions of the game in explicit forms, which are twice continuously differentiable. The optimal plays associated with the sub-value and sup-value are found explicitly. The cases when Nash equilibrium strategies and the value function of the game exist can also be determined.

报告人简介：

罗尚真，Professor of Mathematics, University of Northemn Iowa, 2017-present；Ph.D, in Mathematics, University of Missouri-Columbia 2005；B.S. in Mathematics, Nankai University, China 1998。研究方向为金融数学、保险精算等。在Insurance Mathematics Economics, Scandinavian Actuarial Journal, North American Actuarial Journal等国际精算领域的顶级刊物发表论文20多篇。