数学科学学院学术报告[2024] 070号

(高水平大学建设系列报告950号)

报告题目: FBSDEs in A Domination-Monotonicity Framework

报告人：于志勇，教授，山东大学

报告时间：2024.07.26下午15:00-16:00

讲座地点：腾讯会议399918097

报告内容：In this talk, inspired by various stochastic linear-quadratic (LQ, for short) problems, we develop the method of continuation to study nonlinear forward–backward stochastic differential equations (FBSDEs, for short) in a kind of domination-monotonicity frameworks. The coupling of FBSDEs is in a general form, i.e., it not only appears in integral terms and terminal terms, but also in initial terms. By virtue of introducing various matrices, matrix-valued random variables and matrix-valued stochastic processes, we present the domination-monotonicity framework carefully and rigorously. A unique solvability result and a pair of estimates for coupled FBSDEs are obtained. As applications of theoretical results, the related stochastic Hamiltonian systems of several LQ problems are discussed.

报告人简历：于志勇，山东大学数学学院教授，博士生导师。研究方向为随机控制与随机微分博弈、倒向随机微分方程，和金融数学。在SIAM Journal on Control and Optimization, IEEE Transactions on Automatic Control, Automatica等学术期刊上发表论文40余篇。2014年获得山东省杰出青年基金，2019年入选山东大学杰出中青年学者，2021年独立获得教育部自然科学二等奖。

欢迎师生参加！

邀请人：王寒霄

　　 　　　　　　　　　　　　　　　　　　　　　数学科学学院

　　　　　　　　　　　　　　　　　　　　　2024年07月25日