Title: A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance

Keynote Speaker: Guo Junyi

Abstract:

Based on the theory of stochastic differential equations on a sublinear expectation space, we develop a stochastic maximum principle for a general stochastic optimal control problem, where the controlled state process is a stochastic differential equation driven by G-Brownian motion. Furthermore, under some convexity assumptions, we obtain sufficient conditions for the optimality of the maximum in terms of the H-function. Finally, applications of the stochastic maximum principle to the mean-variance portfolio selection problem in the financial market with ambiguous volatility is discussed.

Speaker introduction:

Professor Guo Junyi works at the NKU School of Mathematical Sciences, and is the Vice Chairman of Chinese Mathematical Society, the Managing Director of China Mathematics, Physics and Advanced Technology Society, the Director of the Financial Quantitative Analysis and Computing Commission, the Deputy Director of Actuarial Science Committee of Chinese Society of Probability and Statistics, the Editorial Board Member of Interdisciplinary Sciences, and the Editorial Board Member of Applied Probability and Statistics. He mainly engages in the research on the stochastic process and its application in finance and insurance. In recent years, his research interest mainly lies in the optimal stochastic control in insurance risk theories, including the research on the optimal reinsurance, optimal investment and optimal dividend policy, etc.

Inviter:

Lin Lu  Professor

Time:

14:30-15:30, May 17 (Friday)

Location:

Hall 1238, Block B, Zhixin Building, Central Campus

Hosted by: School of Mathematics, Shandong University