主题：Dual representation of optimal wealth and control processes for nonsmooth utility maximisation problems
主讲人：Harry Zheng教授
主持人：经济数学学院 马敬堂教授
时间：2015年4月7日（星期二）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，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：
In Bian and Zheng (2011, 2015) it is shown that there is a classical solution to the HJB equation with the dual control method and the results are applied to study the turnpike property and other problems. To find the optimal wealth and control processes one needs to find the closed-form optimal value function first, which is in general difficult to achieve. In this talk we show that by using the dual method and the self-financing replicating portfolio idea one may find the optimal wealth and control processes without having to first find the optimal value function. We show the usefulness of the result with some examples that cannot be solved in Bian and Zheng (2011, 2015). We then extend the results to non-concave utility maximisation and constrained problems. This is joint work with C. Bernard (University of Waterloo).
