主 题: Maximum principles for stochastic optimal control problems and applications
报告人: 吴臻 教授 (山东大学)
时 间: 2009-11-16 下午16:00 - 17:00
地 点: 理科一号楼 1418
In this talk, we give maximum principles--the necessary condition
of the optimal controls--for two kinds of stochastic optimal control
problems. The first one is the partially observed stochastic
recursive optimal control problems which have wide applications in
finance and economic such as the celebrated principal-agent
problems. The maximum principles for this kind of optimization
problems to forward-backward control systems are given, and then the
theoretical results are applied to study partially observed
linear-quadratic recursive optimal control problems. The second kind
of optimal control problems is for the stochastic system described
by stochastic differential equations with delay. We give the maximum
principle for the optimal control of this problem by virtue of the
duality method and the anticipated backward stochastic differential
equations. Our results can be applied to a production and
consumption choice problem and the explicit optimal consumption rate
is obtained.
