报告题目：Optimal State Equation for the Control with Two Distinct Dynamic Systems  

报 告 人：吴盼玉  

报告摘要：We consider a class of stochastic control problems which have been widely used in optimal foraging theory and financial modeling. The optimal state process has two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether it takes values bigger or smaller than a threshold value. Adopting a perturbation type approach, we find an expression for potential measure of the optimal state process. We then obtain an expression for the transition density of the optimal state process by inverting the associated Laplace transform. Properties including the stationary distribution of the optimal state process are discussed. Finally, the expression of the value function is given for such stochastic control problems.  

报告人简介：吴盼玉，山东大学金融研究院教授，硕士生导师，2020年入选山东大学青年学者未来计划。主要从事非线性概率与期望、倒向随机微分方程理论及应用、金融数学等领域的研究。在Stoch. Proc. Appl.，Automatica，Sci. China Math.等国内外知名期刊上发表学术论文近二十篇。主持国家自然科学基金、山东省自然科学基金、博士后基金等多项科研项目，作为骨干成员参加国家重点研发计划以及山东省自然科学基金重大基础研究项目。曾获山东省高等学校科学技术奖二等奖。

报告时间： 2024年11月14日星期四14：00-15：30

报告地点： 腾讯会议：863-914-338

报告邀请人：李小娟

主办单位：188bet 初回入金ボーナス

撰稿：李小娟

初审：陈凤芹

复审：刘春晗

终审：院  长