数学科学学院学术报告[2025] 005

(高水平大学建设系列报告1028号)

报告题目: Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems

报告人：魏庆萌 教授（东北师范大学）

报告时间：2025年1月19日上午10:00-11:00

讲座地点：腾讯会议289924576

报告内容：This talk is about an infinite time horizon stochastic recursive control problem with jumps, where an infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describes the state process and the cost functional, respectively. By establishing the dynamic programming principle, we relate the value function of the control problem with integral-partial differential equation of H-J-B type in the sense of viscosity solutions. On the other hand, stochastic verification theorems are also studied to provide sufficient conditions to verify the optimality of the given admissible controls. Such a study is carried out in the framework of classical solutions but also in that of viscosity solutions. Our work emphasizes important differences from the approach for finite time horizon problems. In particular, we have to work in an Lp-setting for p>4 in order to study the verification theorem in viscosity sense.

报告人简介：魏庆萌,东北师范大学教授、博士生导师，入选国家天元数学东北中心优秀青年学者，吉林省“长白英才计划”青年拔尖人才，吉林省创新拔尖人才，吉林省高层次人才；主持国家自然科学基金面上项目(两项)、吉林省自然科学优秀青年基金项目等，获山东省自然科学奖一等奖(第二完成人)、山东省优秀博士论文等奖励。现任Systems &Control Letters编委。

邀请人：王寒霄

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　　　　　　　　　　　　　　　　　　　　　 2025年1月16日