应王玮明教授邀请，山东大学数学学院副教授于志勇博士于2013年10月10日至13日访问我校应用数学研究所并作学术报告，特别是将在随机控制领域开展合作研究。
报告1
Title: Indefinite Stochastic Linear-Quadratic Optimal Control Problems
Abstract: In this talk, a new approach to study the indefinite stochastic linear-quadratic (LQ) optimal control problems, which we called the “equivalent cost functional method”, is introduced. The new method is featured by its introduction of some equivalent cost functionals which enable us to establish a bridge between the indefinite and positive-definite stochastic LQ problems. With the help of such bridge, some solvability relation between the indefinite and positive-definite Hamiltonian systems or Riccati equations is further characterized. Consequently, the corresponding indefinite LQ problem is investigated for which the unique optimal control is derived in terms of open loop via the solution of Hamiltonian system, or in terms of state feedback via the solution of Riccati equation, respectively.
时间：2013年10月10日14:50—15:50
地点：3B207
报告2
Title: Continuous-Time Mean-Variance Portfolio Selection with Random Horizon
Abstract: This talk examines the continuous-time mean-variance optimal portfolio selection problem with random market parameters and random time horizon. Treating this problem as a linearly constrained stochastic linear-quadratic optimal control problem, I explicitly derive the efficient portfolios and efficient frontier in closed forms based on the solutions of two backward stochastic differential equations. Some related issues such as a minimum variance portfolio and a mutual fund theorem are also addressed. All the results are markedly different from those in the problem with deterministic exit time. A key part of my analysis involves proving the global solvability of a stochastic Riccati equation, which is interesting in its own right.
时间：2013年10月11日15:10—16:00
地点：3B207
于志勇副教授简历：1976年8月生，山东大学数学学院副教授、硕士生导师，先后于1999年、2002年、2008年在山东大学数学学院获学士、硕士、博士学位，2008年-2009年，在法国Evry大学数学系从事博士后合作研究。目前主要从事随机控制与对策、倒向随机微分方程、金融数学方面的研究。主持完成1项国家自然科学基金、1项山东省自然科学基金，目前正在主持1项国家自然科学基金和留学回国科研基金。发表SCI论文13篇。
