主 题：Smooth Optimal Value Function with Applications
主讲人：Harry Zheng教授
主持人：经济数学学院 马敬堂教授
时 间：2014年4月4日（星期五）下午4:00
地 点：柳林校区通博楼B412
主办单位：经济数学学院 科研处
主讲人简介：
Harry Zheng，英国帝国理工学院教授，2013-2014 QS世界大学排名第5。Professor Zheng从事金融数学领域研究，在Finance and Stochastics，Journal of Banking and Finance等外A期刊及Quantitative Finance，Annals of Operations Research等外B期刊发表多篇论文。
内容提要：
We discuss the regularity of the optimal value function for a class of utility functions that are not required to be differentiable or strictly concave. We show that there is a classical solution to the HJB equation with the dual control method. We then apply the results to study a wealth maximization problem and a long-term investment turnpike problem. For the former we construct explicitly the optimal control and show that the wealth and the risk are positively correlated. For the latter we give a simple proof to the turnpike property of the optimal policy and estimate the rate of convergence.
