报告题目：Maximum Principle for Stochastic Optimal Control Problem under Convex Expectation

报 告 人：胡明尚教授（山东大学）

报告时间：2025年4月25号  15:00

报告地点：腾讯会议（会议号：268 602 265）

报告摘要：

We study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we get the representation theorems for this convex expectation and conditional convex expectation. Based on these results, we obtain the variational equation for cost functional by weak convergence and discretization methods. Furthermore, we establish the maximum principle which is sufficient under usual convex assumptions. Finally, we study the linear quadratic control problem by using the obtained maximum principle. This is a joint work with Xiaojuan Li.

报告人简介：

胡明尚，山东大学中泰证券金融研究院教授，博士生导师，山东省泰山学者青年专家。主要研究方向为非线性期望、倒向随机微分方程、随机控制、金融数学等。在Transactions of the American Mathematical Society, SIAM Journal on Control and Optimization, Stochastic Processes and their Applications, Journal of Differential Equations等杂志发表论文30余篇。近年来，主持国家自然科学基金数学天元基金重点专项1项，主持完成国家自然科学基金面上项目1项。