報(bào)告人簡介
胡明尚，山東大學(xué)中泰證券金融研究院教授，博士生導(dǎo)師。主要研究方向?yàn)榉蔷€性期望、倒向隨機(jī)微分方程、隨機(jī)控制、金融數(shù)學(xué)等。在Transactions of the American Mathematical Society,SIAM Journal on Control and Optimization,Stochastic Processes and their Applications,Journal of Differential Equations等雜志發(fā)表論文30余篇。近年來，主持國家自然科學(xué)基金數(shù)學(xué)天元基金重點(diǎn)專項(xiàng)1項(xiàng)，主持完成國家自然科學(xué)基金面上項(xiàng)目1項(xiàng)。
內(nèi)容簡介
We obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE. This is a joint work with Shaolin Ji and Xiaojuan Li.
