Presentation Name: | Time-Inconsistent Stochastic Optimal Control and Equilibrium HJB Equation |
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Presenter: | 雍炯敏 教授 |
Date: | 2012-04-06 |
Location: | 光华楼东主楼 1801 |
Abstract: | In this talk, we will present some recent results for time-inconsistent stochastic optimal control problems with all the coefficients being deterministic. Under certain conditions, we will derive the so-called equilibrium HJB equation for the equilibrium value function via which a time-consistent equilibrium control can be constructed, in principle. The well-posedness of such kind of HJB equation will be established for some special cases. The linear-quadratic situation and a generalized Merton portfolio problem will be carefully investigated.
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Annual Speech Directory: | No.31 |
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