报告人: 王寒霄 (深圳大学)

报告题目: Some Recent Progress on Backward Stochastic Volterra Integral Equations

时间: 2022.07.08, Friday 10:00—12:00 am (Beijing)

腾讯 ID: 543460996

摘要:

In this talk, we will briefly introduce some new results of backward stochastic Volterra integral equations (BSVIEs, for short). First, we will recall some classical results of BSDEs, type-I BSVIEs, and type-II BSVIEs. Some new estimates, features and applications of type-I BSVIEs will be also mentioned. For example, we will show that the generator of BSVIEs can be anticipating, but for BSDEs, the generator must be adapted. Next, we will introduce the type-III BSVIE and its connection with time-inconsistent optimal control problems. Indeed, type-III BSVIE has been a popular method for studying time-inconsistent control problems. Finally, we will introduce the path-dependent PDE approach to forward-backward SVIEs. A decoupling method of Volterra type stochastic Hamiltonian system will be also mentioned. The key technique is to establish a connection between linear type-II and type-III BSVIEs and to introduce the proper decoupling filed. This talk is based on some joint works with Yong (UCF), Zhang (USC), Zhou (NUS), and Sun (SUSTech).

报告人简介:

王寒霄，2014年本科毕业于吉林大学，2020年博士毕业于复旦大学，导师为雍炯敏教授。2017年10月至2019年5月在美国中佛罗里达大学进行联合培养。2020年9月至2022年2月在新加坡国立大学做博士后。2022年4月至今任深圳大学数学与统计学院助理教授。主要从事随机控制和随机微分方程的研究。已在Ann. I.H.P，ESAIM COCV，JDE等期刊发表多篇学术论文。