A Closed-Loop Saddle Point for Zero-Sum Linear-Quadratic Stochastic Differential Games
报 告 人:: 于志勇
报告地点:: 数学与统计学院617室
报告时间:: 2019年03月17日星期日09:30-10:30
报告简介:

In this talk, we consider a two-person zero-sum linear-quadratic stochastic differential game. By combining the notion of Elliott and Kalton’s non-anticipative strategy and the classical feedback mechanism, we establish a thoroughly closed-loop formulation for the game. A saddle point in the form of strategy laws is constructed based on the solution of a Riccati equation. A key part of our analysis involves proving the global solvability of this Riccati equation, which is interesting in its own right. Moreover, we demonstrate an indefinite phenomenon arising from the linear-quadratic game.

举办单位:数学与统计学院
发 布 人:吴双 发布时间: 2019-03-14
主讲人简介:
于志勇,山东大学数学学院教授,博士生导师。主要从事随机控制与随机微分博弈、倒向随机微分方程,和金融数学方面的研究。