主讲人：大连理工大学，廖华夫教授

报告时间：2026年8月27日，下午14: 00—15: 00

报告地点：览秀楼105学术报告厅

报告摘要:

We provide a framework for robust mean field control problems that describe multi-dimensional optimal liquidation problems under uncertainty from both the underlying stochastic process and the deterministic model parameters. The verification results are established with Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations where the variables are probability measures and the Hamiltonian nonlinearly involves the joint distribution of position and momentum. Using novel a priori estimates, we establish the well-posedness of the HJBI equations featuring general or quadratic Hamiltonians that are neither displacement convex nor concave in their momentum. The a priori estimates and well-posedness results are extended during their application to optimal liquidation problems, where we allow the Hamiltonian to have derivatives of linear growth and solve the constrained multi-dimensional linear quadratic optimal liquidation problem under composite uncertainty. This talk is based on the joint work with Shuhui Liu, Chenchen Mou and Defeng Sun.

主讲人简介：

廖华夫，教授、博士生导师。中国科学技术大学博士，曾先后在新加坡国立大学、柏林洪堡大学、香港城市大学从事博士后研究，之后于2024年加入大连理工大学。研究兴趣为随机最优控制理论及其在数理金融和机器学习中的应用,围绕相关问题已在 Ann. Appl. Probab., SIAM J.Control Optim.,Math.Financ.Econ.等学术期刊上发表多篇论文。主持国家级青年人才项目。