主讲人：牛津大学 金含清博士
主 题：LQ Control with our time Consistence—Existence and Uniqueness
主持人：经济数学学院 李绍文教授
时 间：2015年7月20日（星期一） 上午：9:30-10:30
地 点：通博楼B412
主 办：经济数学学院、科研处
主讲人介绍：
金老师于2001年在南开大学获得MPhil学位，专业是金融数学；于2004年在香港中文大学获得博士学位，专业是金融工程。他的研究兴趣包括金融数学、运筹学、应用随机分析，具体研究方向是投资组合选择理论、行为金融学。金老师在Mathematical Finance, Journal of Economic Theory等高水平杂志发表论文10余篇。
讲座内容：
The Linear-Quadratic (LQ) control problem without time consistence was inspired bythe mean-variance portfolio selection in a continuous time financial market. Controlproblems without time consistence has been studied by many researched, especially in the last 5 years. But most literature focus on the framework and adhoc constructionof solutions for special classes. In this talk,we prove a construction of the solution to ageneral LQ control problem with deterministic parameters and a simplified case withrandom parameters.We also show that the solution obtained is unique.This is thefirst uniqueness of solutions to a time inconsistent problem in literature.
