报告题目：Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations with a Type of Random Coefficients

报 告 人：魏庆萌

报告摘要：Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an LQ problem for an SDE with the coefficients being adapted to a filtration independent of the Brownian motion driving the control system. Classical approach of completing the square is applied to the current problem and obvious shortcomings are indicated. Open-loop and closed-loop solvability are introduced and characterized.

报告人简介：魏庆萌，东北师范大学教授、博导，从事倒向随机微分方程、随机控制及金融数学的研究工作；担任Systems & Control Letters编委，入选“国家天元数学东北中心优秀青年学者”，获“吉林省创新拔尖人才”称号，被认定为吉林省“省级高层次人才”；主持国家自然科学基金面上项目和青年基金、吉林省自然科学优秀青年基金、吉林省科技厅优秀青年人才基金等科研项目，曾获山东省优秀博士论文等奖励。

报告时间：2024年12月31日 19:00-20:30

报告地点：腾讯会议160-661-492

报告邀请人：崔峰峰

主办单位：数学学院

撰稿：崔峰峰

初审：陈凤芹

复审：刘春晗

终审：院 长