报告题目：Smooth Optimal Value Function with  Applications

报告 人：英国帝国理工大学  Harry Zhen 教授

时    间：2014年5月27日下午16：00

地    点：本部览秀楼105学术报告厅

Abstract: We discuss the regularity of the optimal  value function for a class of utility functions that  are not required to be differentiable or strictly  concave. We show that there is a classical solution to  the HJB equation with the dual control method. We then  apply the results to study a wealth maximization  problem and a long-term investment turnpike problem.  For the former we construct explicitly the optimal  control and show that the wealth and the risk are  positively correlated. For the latter we give a simple  proof to the turnpike property of the optimal policy  and estimate the rate of convergence.