主讲人:山东大学数学学院 于志勇副教授
题 目：A Pontryagin Maximum Principle for Non-zero Sum Differential Games of Backward Stochastic Differential Equations with Applications
主持人：西南财经大学经济数学学院 朱文莉 教授
地 点: 西南财经大学柳林校区E203教室
时 间：2013年7月1日（星期一）上午9:00-10:30
主 办：经济数学学院 科研处
报告摘要:
Thistalk is concerned with a (Pontryagin) maximum principle for a new class of non-zero sum stochastic differential games. The most distinguishing feature, compared with the existing literature, is that the game systems are described by backward stochastic differential equations. This kind of games are motivated by some interesting phenomena arising from financial markets and can be used to characterize the players with different levels of cooperation and utilities. According to Arrow generalization of Mangasarian sufficient condition, convex variation and some standard techniques, we establish a sufficient condition and a necessary condition in the form of maximum principle for open-loop equilibrium point of the foregoing games respectively. To explain the theoretical results, we use them to study a linear-quadratic case and a financial problem.
于志勇副教授简介：
Zhiyong Yu (于志勇) received his B.S. and M.S. degrees in Control Sciences and his Ph.D. degree in Probability Theory and Mathematical Statistics from Shandong University, Jinan, China, in 1999, 2002 and 2008, respectively. He did his postdoctoral work at Evry University, France, from 2008 to 2009. He is currently an Associate Professor of School of Mathematics of Shandong University.His research interests include stochastic control and game theory, forward and backward stochastic differential equations and mathematical finance.
