MS-Th-E-39
Optimal control of stochastic systems and its application to finance

Date: August 13
Time: 16:00--18:20
Room: 302B

(Note: Click title to show the abstract.)

Organizer:
Wu, Zhen (Shandong Univ.)
Wang, Guangchen (Shandong Univ.)

Abstract: Optimal control of stochastic systems plays a central and significant role in modern control theory. In the past decade, extensive studies have been conducted for the so-called maximum principle, verification theorem, HJB equation and their applications to finance, economics, insurance, etc. The minisymposium aims to present some recent developments in optimal control of stochastic systems, including 1) LQ control and filtering of forward-backward stochastic systems; 2) Non-Markov zero-sum Dynkin game; 3) Maximum principle for stochastic systems driven by fractional Brownian motions; 4) Maximum principle for mean-field stochastic delay systems.


MS-Th-E-39-1
16:00--16:30
An LQ optimal control problem of FBSDEs with partial information
Wang, Guangchen (Shandong Univ.)


MS-Th-E-39-2
16:30--17:00
Non-Markov zero-sum Dynkin game
Zhou, Yang (South China Normal Univ.)


MS-Th-E-39-3
17:00--17:30
Stochastic Maximum Principle for Controlled Systems Driven by Fractional and Standard Brownian Motions
Han, Yuecai (Jilin Univ.)


MS-Th-E-39-4
17:30--18:00
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
Meng, Qingxin (Huzhou Uinversity)


CP-Th-E-39-5
18:00--18:20
The Connection between Dynamic Programming and Maximum Principle for Fully Coupled Forward-Backward Stochastic Control Systems
Shi, Jingtao (Shandong Univ.)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA