Speaker: Zhang Shuaiqi, associate professor, China University of Mining and Technology

Date: December 3, 2024

Time: 11:00-12:00 am

Location: B1238, Zhixin Building, Shandong University

Sponsor: School of Mathematics, Shandong University

Abstract:

This talk starts with existence and uniqueness of fully coupled forward backward stochastic differential equation (FBSDEs) driven by anomalous sub-diffusion B_Lt, under suitable monotonicity conditions on the coefficients. Here B_t is the Brownian motion on R and L_t:=inf{r > 0; S_r > t}, t ≥ 0 is the inverse of a subordinator S with drift κ > 0 that is independent of B_t. Various a priori estimates on the solution of the FBSDEs are also presented. Then we study optimal stochastic control problems which have nontrivial mixed features of deterministic and stochastic controls. Both the stochastic maximum principle (SMP) and sufficient SMP are obtained by using a convex variational method. The paper ends with an application of the main results of this paper to a linear quadratic problem in the subdiffusive setting, which is solved explicitly.

For more information, please visit:

https://view.sdu.edu.cn/info/1020/197541.htm