Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
Speaker:Prof. Jingtao Shi
School of Mathematics
Shandong University
Date & Time:30 Jan 2013 (Wednesday) 15:00
Venue:U102
Organized by:Department of Mathematics

Abstract

In this talk, I will talk about the relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems. Under certain differentiability conditions, some relations among the adjoint processes, the generalized Hamiltonian function and the value function will be given. A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example of the main result.

Biography

Prof. Jingtou Shi is currently an Associate Professor of School of Mathematics of Shandong University. Prof. Shi obtained his Ph.D. degree in Shandong University as well. Prof. Shi is the finalist of the Best Paper Award of the 12th International Conference on Control, Automation, Robotics and Vision. He also received the award of the Zhang Si-Ying (CCDC) Outstanding Youth Paper and the Award of the Fifth Periodical Excellent Academic Paper of China Association for Science and Technology. Prof. Shi is interested in Stochastic Optimal Control, Backward Stochastic Differential Equations, Mathematical Finance, and Stochastic Systems with Delay. The publications of Prof. Shi include, Maximum Principle for Optimal Control of Fully Coupled Forward-backward Stochastic Differential Delayed Equations, Sufficient Conditions of Optimality for Mean-Field Stochastic Control Problems, Stochastic Control of Jump Diffusions etc.