主  題：(Backward) stochastic differential equations driven by G-Brownian motion with subdifferential operator

內(nèi)容簡介：In concrete applications in finance market, model uncertainty and with constraints often exist. To describe these phenomena, in this talk, I firstly introduce the theory of G-Brownian motion and Ito calculus established mainly by Prof. Shige Peng. In the second part, I will give our works on multi-valued stochastic differential equations and its related stochastic optimal control. In the third part, I will briefly introduce our works on multi-valued backward stochastic differential equations and its application in the probabilistic interpretation in a class of multi-valued nonlinear PDEs.

報(bào)告人：任永    教授    博導(dǎo)

時(shí)  間：2017-04-26    14:00

地  點(diǎn)：竟慧東樓302

舉辦單位：理學(xué)院