数学与统计学院学术报告[2019] 077号
(高水平大学建设系列报告310号)
报告题目:Stackelberg game with partial information
报告人： 熊捷 教授 （ 南方科技大学）
报告时间：2019年10月14日14：30 – 15：30
报告地点： 汇星楼（科技楼） 501
报告内容：This talk is concerned with a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub-σ-algebra of that available to the leader. Such kind of game problems has wide applications in finance, economic- s and management engineering such as newsvendor problems, cooperative advertising and pricing problems. Stochastic maximum principles and verification theorems with partial information will be presented. As an application, a linear-quadratic leader-follower stochastic differential game with asymmetric information is studied. It is shown that the open-loop Stackelberg equilibrium admits a state feedback representation if some system of Riccati equations is solvable. This talk is based on a joint work with Shi and Wang.
报告人简历：熊捷教授，南方科技大学讲座教授，博士生导师。曾在美国田纳西大学担任教授。随机过滤、随机偏微分方程和金融数学方向的知名专家。熊教授的研究领域包括随机微分方程、马氏过程、极限理论、随机分析、数理金融等，在Annals of Probability, Probability Theory and Related Field, Annals of Applied Probability , Stochastis Process. Appl., SIAM J. Control Optim. 等期刊发表论文90余篇。
欢迎感兴趣的师生参加！
数学与统计学院
2019年10月11日
