主 题：(Backward) stochastic differential equations driven by G-Brownian motion with subdifferential operator
内容简介：In concrete applications in finance market, model uncertainty and with constraints often exist. To describe these phenomena, in this talk, I firstly introduce the theory of G-Brownian motion and Ito calculus established mainly by Prof. Shige Peng. In the second part, I will give our works on multi-valued stochastic differential equations and its related stochastic optimal control. In the third part, I will briefly introduce our works on multi-valued backward stochastic differential equations and its application in the probabilistic interpretation in a class of multi-valued nonlinear PDEs.
报告人：任永 教授 博导
时 间：2017-04-26 14:00
地 点：竟慧东楼302
举办单位：理学院
