主题
Stochastic Differential Games with Random Coefficients and Stochastic Hamilton-Jacobi-Bellman-Isaacs Equations
报告人
张静 副教授（复旦大学）
时间
2025年6月6日（周五）下午4:00
地点
大学城校区院系楼152室
报告内容简介
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and Souganidis [Indiana Univ. Math. J., 38 (1989), pp.293-314] and the seminal work by Buckdahn and Li [SIAM J. Control Optim., 47 (2008), pp.444-475], the involved coefficients may be random, going beyond the Markovian framework and leading to the random upper and lower value functions. We first prove the dynamic programming principle for the game, and then under the standard Lipschitz continuity assumptions on the coefficients, the upper and lower value functions are shown to be the viscosity solutions of the upper and the lower fully nonlinear stochastic Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations, respectively. A stability property of viscosity solutions is also proved. Under certain additional regularity assumptions on the diffusion coefficient, the uniqueness of the viscosity solution is addressed as well.
报告人简介
张静，复旦大学数学科学学院副教授、博士生导师。2012年在法国埃弗里大学取得理学博士学位，2013年入职复旦大学数学科学学院至今，主要研究方向是随机偏微分方程、随机控制和金融数学，相关工作发表在AOP, AAP, JDE, SPA, EJP, SIFIN等国际权威期刊上。
数学与统计学院“前沿学术论坛”由广东外语外贸大学数学与统计学院发起创办，是数学统计学科高层次常态化学术交流平台。论坛不定期邀请国内外知名学者围绕数学统计国际前沿动态及热点研究领域展开交流与探讨，通过学术报告、学术沙龙、研讨会等形式为师生提供向国内外同行学习交流的机会，接触学术前沿，拓宽学术视野，激发学术热情，提升我校师生的创新能力。
