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学术报告七十七:Stackelberg game with partial information

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时间:2019-10-11 10:54 

 

数学与统计学院学术报告[2019] 077

 

(高水平大学建设系列报告310)

 

报告题目:Stackelberg game with partial information

 

报告人:   熊捷    教授      南方科技大学

 

报告时间:201910141430 – 1530

 

报告地点: 汇星楼(科技楼) 501

 

报告内容: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, economic- s 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.

 

 

 

报告人简历:熊捷教授,南方科技大学讲座教授,博士生导师。曾在美国田纳西大学担任教授。随机过滤、随机偏微分方程和金融数学方向的知名专家。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. 等期刊发表论文90余篇。

 

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