数学学科2024系列学术报告之三十一

　　题目：A robust stochastic control problem with applications to monotone mean-variance problems

　　报告人： 罗鹏

　　时间：2024年11月13日（周三），上午9：00-10：00

　　地点：理学院1-301会议室

　　报告摘要：This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with unbounded coefficients. We further show that the robust stochastic control problem shares the same optimal control and optimal value with the stochastic control problem with a mean-variance cost functional. The results obtained are then applied to monotone mean-variance and mean-variance portfolio selection problems and monotone mean-variance and mean-variance investment-reinsurance problems.

　　报告人简介：

　　罗鹏，现为上海交通大学数学科学学院副教授，山东大学和康斯坦茨大学博士，苏黎世联邦理工学院和滑铁卢大学博士后。主要研究领域为随机分析与金融数学，在SIFIN, JDE, SPA, EJP, AMO等期刊发表论文二十余篇。