Some New Results on Backward Stochastic Difference Equations and Related Control Problems
報告人簡介
張奇，理學博士，復旦大學數(shù)學科學學院教授，博士生導師，金融數(shù)學與控制科學系系主任。2007年畢業(yè)于山東大學數(shù)學學院（與英國拉夫堡大學聯(lián)合培養(yǎng)），2008年在英國拉夫堡大學從事博士后研究工作，同年入職復旦大學數(shù)學科學學院。主要研究領(lǐng)域為倒向隨機微分方程、隨機偏微分方程、隨機控制理論。
內(nèi)容簡介
In this talk, I introduce our work on the discrete-time infinite horizon backward stochastic differential equation, i.e., infinite horizon backward stochastic difference equation. The well-posedness of this equation and the discrete-time stochastic recursive control problem is studied. By introducing a proper discrete-time infinite horizon dual equation, we prove the stochastic maximum principle and the verification theorem for this recursive control problem. Finally, we apply the derived stochastic maximum principle to the optimal consumption problem arisen from a type of long-term trust fund.
