Speaker: Siyu lv, associate professor, School of Mathematics, Southeast University

Date: May24, 2024

Time: 18:00-19:00

Location: Zoom Meeting：742-475-3864

Sponsor: Frontiers Science Center for Nonlinear Expectations, Shandong University; Research Centre for Mathematics and Interdisciplinary Sciences Centre, Shandong University; Sino-Russian Mathematics Center in Qingdao

Abstract:

This work is concerned with an optimal stopping problem in the presence of model uncertainty and regime switching. In this work, the max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical framework for such kind of problem. First, under certain smoothness requirement, a verification theorem consisting of a set of sufficient conditions for robust optimality is established. Then, based on the dynamic programming principle, the value function of the optimal stopping problem is characterized as the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Moreover, when the Markov chain has a large state space and exhibits a two-time-scale structure, a singular perturbation approach is utilized to reduce the complexity involved. Finally, an example of choosing the best time to sell a stock is provided. Numerical experiments are reported to illustrate the theoretical results and to gain insights into the implications of model uncertainty and regime switching.

This talk is based on a joint work with Prof Zhen Wu (Shandong University), Prof Jie Xiong (SUSTech), and Prof Xin Zhang (Southeast University).

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/191582.htm