题目：Dynamic programming principle for a controlled FBSDE system and associated extended HJB equation

报告人：杨淑振 教授，山东大学 中泰证券金融研究院

时 间：2022.03.14(周一) 9:30-10:30

地 点：金融工程研究中心

腾讯会议：790-909-509

报告摘要：This paper investigates the dynamic programming principle for a general stochastic control problem in which the state processes are described by a forward-backward stochastic differential equation (FBSDE). Using the method of S-topology, we show that there exists an optimal control for the value function. Then a dynamic programming principle is established. As a consequence, an extended Hamilton-Jacobi -Bellman (HJB) equation is derived. The existence and uniqueness of both smooth solution and a new type of viscosity solution are investigated for this extended HJB equation. In the end, an example of utility maximization is presented to verify the above results. Compared with the extant researches on stochastic maximum principle, this paper is the first normal work on partial differential equation (PDE) method for a controlled FBSDE system. (Joint work with Xuhong Xu.)

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http://mathfinance.sdu.edu.cn/sz/yjyjs1/ysz_fjs/jbxx.htm