報告題目：A Closed-Loop Saddle Point for Zero-Sum Linear-Quadratic Stochastic Differential Games
報 告 人: 于志勇 教授 山東大學
報告時間：2019年3月16日下午4：00-4：40
報告地點：數學樓第二報告廳
摘要：In this talk, we consider a two-person zero-sum linear-quadratic stochastic differential game. By combining the notion of Elliott and Kalton’s non-anticipative strategy and the classical feedback mechanism, we establish a thoroughly closed-loop formulation for the game. A saddle point in the form of strategy laws is constructed based on the solution of a Riccati equation. A key part of our analysis involves proving the global solvability of this Riccati equation, which is interesting in its own right. Moreover, we demonstrate an indefinite phenomenon arising from the linear-quadratic game.
于志勇，山東大學伟德线上平台教授，博士生導師。主要從事随機控制與随機微分博弈、倒向随機微分方程，和金融數學方面的研究。
