数学科学学院学术报告[2024] 063号

(高水平大学建设系列报告943号)

报告题目: On the dynamic programming principle

报告人：谭小路，副教授，香港中文大学

报告时间：2024.07.11 15:00-16:00pm

讲座地点：汇星楼（科技楼）514

报告内容：The dynamic programming principle (DPP) plays an important role in the study of the stochastic optimal control problems. In this talk, we will discuss some measurability issues arising in the mathematical proof of the DPP in this context. We will then show how to apply the measurable selection arguments to provide a rigorous proof of the DPP for standard stochastic optimal control problems under very general conditions. We will also discuss the extension of the approach for the McKean-Vlasov optimal control problems.

报告人简历： Xiaolu Tan is an associate professor at the Chinese University of Hong Kong. Previously, he did his PhD at Ecole Polytechnique in Paris, and then worked as assistant professor at University of Paris Dauphine. His main research interest covers the stochastic optimal control, stochastic numerical method, mathematical finance, etc.

欢迎师生参加！

邀请人：王寒霄

                                           数学科学学院

2024年7月10日