Speaker: Qingmeng Wei, professor and doctoral supervisor, Northeast Normal University

Date: May 27, 2024

Time: 10:00-11:00

Location: B924, Zhixin Building, Shandong University

Sponsor: School of Mathematics, Shandong University

Abstract:

Motivated by linear-quadratic optimal control problems (LQ problems, forshort) 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 afiltration independent of the Brownian motion driving the control system. Classical approach of completing the square is applied to the current problemand obvious shortcomings are indicated. Open-loop and closed-loop solvability are introduced and characterized. This is the joint work with Hongwei Mei and Jiongmin Yong.

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