报告题目：An Optimal Investment Problem under Correlated Noises: Risk-Sensitive Stochastic Control Approach

报告人：史敬涛 教授

时间：2019.7.3(周三) 10:00-11:00

地点：金融工程研究中心105

报告摘要：This talk is concerned with a risk-sensitive stochastic control problem, motivated by an optimal investment problem under correlated noises in the financial market. A new stochastic maximum principle for this kind of problem is obtained first, where the adjoint equations and maximum condition heavily depend on the risk-sensitive parameter and the correlation coefficient. Then the theoretical result is applied to the optimal investment problem with correlated noises, and the optimal investment strategy is obtained in a state feedback form, under a critical condition satisfied by the risk-sensitive parameter and the correlation coefficient. Numerical simulation and figures are given to explicitly illustrate the change and the sensitivity for optimal solution with respect to the risk-sensitive parameter and the correlation coefficient. （Joint work with Ms. Le Yang and Mr. Yueyang Zheng.）

报告人简介：史敬涛，山东大学数学学院教授、博士生导师。主要从事随机控制、微分对策、正倒向随机系统、时滞随机系统与金融数学等方面的研究。曾赴美国、英国、瑞典、日本、澳大利亚、新加坡、香港、澳门等国家和地区访问交流。目前在IEEE Transactions on Automatic Control、Automatica,、SIAM Journal on Control and Optimization等国际学术期刊发表论文30余篇，曾获中国科协期刊优秀学术论文奖、张嗣瀛优秀青年论文奖、山东省高等学校科学技术奖等奖项，主持和参与多项国家自然科学基金项目。现为中国自动化学会控制论专业委员会随机系统控制学组委员。