Optimal singular controls in infinite horizon for stochastic processes with regime-switching
报告人：邵井海
报告地点：腾讯会议
报告时间：2020年07月16日星期四09:00-10:00
邀请人：李晓月
报告摘要：
We develop the compactification method to prove the existence of an optimal control for multidimensional stochastic processes with regime-switching. We consider separately the situations with and without state constraints. Three kinds of control policies are studied in this work including: the classical controls on the drifts; the singular controls; the controls on the transition rates of switching processes. Based on the existence of the optimal controls, the dynamic programming principle is also established. Also, the value function is proved to be continuous and is a viscosity solution to a coupled system of Hamilton-Jacobi-Bellman equations.
会议网址：https://meeting.tencent.com/s/wtnORRloQ6JF
会议ID：620 891 262
主讲人简介：
邵井海，天津大学应用数学中心教授，博士生导师。2006年获得北京师范大学与法国第戎大学的理学博士学位，同年在北京师范大学留校任教。2007年，赴德国伯恩大学跟随K. Sturm教授做两年博士后研究，同年获得中国数学学会“钟家庆数学奖”， 2008年, 获得“全国百篇优秀博士学位论文奖”。邵井海教授主要从事概率论遍历性理论、随机分析、随机微分方程方面的研究工作。多篇论文发表在著名数学刊物，包括 J. Funct. Anal.、Probab. Theory Related Fields、 SIAM J. Control Optim.、SIAM J. Math. Anal.、Stochastic Process. Appl. 等。
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