題目：A robust stochastic control problem with applications to monotone mean-variance problems

　　報(bào)告人： 羅鵬

　　時(shí)間：2024年11月13日（周三），上午9：00-10：00

　　地點(diǎn)：理學(xué)院1-301會(huì)議室

　　報(bào)告摘要：This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with unbounded coefficients. We further show that the robust stochastic control problem shares the same optimal control and optimal value with the stochastic control problem with a mean-variance cost functional. The results obtained are then applied to monotone mean-variance and mean-variance portfolio selection problems and monotone mean-variance and mean-variance investment-reinsurance problems.

　　報(bào)告人簡(jiǎn)介：

　　羅鵬,，現(xiàn)為上海交通大學(xué)數(shù)學(xué)科學(xué)學(xué)院副教授,，山東大學(xué)和康斯坦茨大學(xué)博士,，蘇黎世聯(lián)邦理工學(xué)院和滑鐵盧大學(xué)博士后,。主要研究領(lǐng)域?yàn)殡S機(jī)分析與金融數(shù)學(xué),，在SIFIN, JDE, SPA, EJP, AMO等期刊發(fā)表論文二十余篇。