A Kind of Stochastic Linear-Quadratic Stackelberg Differential Game with Overlapping Information
报 告 人:: 史敬涛
报告地点:: 数学与统计学院615室
报告时间:: 2017年12月16日星期六14:30-15:30

This talk is concerned with a kind of stochastic linear-quadratic Stackelberg differential game with overlapping information. Here the term “overlapping” means that the follower's and the leader's information have some joint part, while they have no inclusion relation. Optimal controls of the follower and the leader are obtained by the stochastic maximum principle, the direct calculation of the derivative of the cost functional and stochastic filtering. A new system of Riccati equations is introduced to represent the state feedback of the Stackelberg equilibrium strategy.Joint work with Prof. Guangchen Wang and Prof. Jie Xiong.

发 布 人:科研助理 发布时间: 2017-12-15
史敬涛,山东大学数学学院教授,博士生导师。2009年12月于山东大学数学学院获博士学位。主要研究方向为随机最优控制、随机微分对策、金融数学与时滞随机系统。在SIAM Journal On Control and Optimization, IEEE Transactions on Automatic Control, Automatica等国际权威期刊和American Control Conference, Asian Control Conference, Chinese Control Conference等国际学术会议发表SCI、EI论文50余篇。曾多次赴香港理工大学、澳门大学、澳大利亚阿德莱德大学、新南威尔士大学、悉尼大学访问交流。曾获中国科协期刊优秀学术论文奖、第22届中国控制与决策会议张嗣瀛优秀青年论文奖,目前主持国家自然科学基金面上项目1项。