2017年08月17日 |  English version
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A forward dynamic approach for some time inconsistent problems

报告题目: A forward dynamic approach for some time inconsistent problems

 

 

 

报告人:Prof. Jianfeng Zhang,  University of Southern California

 

报告时间:2017年7月21日(周五)15:30

报告地点:行健楼学术报告室526

邀请人:高洪俊 教授

Abstract: Time inconsistency means that an optimal control obtained today becomes non-optimal anymore tomorrow. This kind of phenomena appears often in practice, and it has been a major subject in economics. In recent years it has also received strong attention in mathematics community, both for its practical importance and for its mathematical challenge. The main challenge is that many tools for time consistent problems, for example PDEs and comparison principles, fail in these settings. There are typically two approaches, one is the equilibrium approach which can be viewed as a backward approach. In this approach the problem is reformulated as a game problem where the player plays with infinitely many future selves. We shall propose a forward approach, motivated by the so called forward utility. We remark that the two approaches lead to different value functions and thus are different math problems. In this talk we will explain the two approaches and motivate the forward approach.   
 

Jianfeng Zhang教授是随机分析,倒向随机微分方程,随机数值方法和数学金融研究领域的著名学者,他是包括 The Annals of Applied Probability, Stochastic Processes and Their Applications, Statistics and Probability Letters和Applied Mathematics and Optimization等著名杂志的编委。

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