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[안내]성균관대학교 응용통계연구소 세미나 개최

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작성자 관리자 작성일09-02-09 16:11 조회3,809회

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성균관대학교 통계학과 응용통계연구소에서 2009년도를 맞이하여 중국 산동대학의 Juan Li교수를 모시고 아래와 같이 세미나를 개최하오니 관심 있는 분들의 많은 참여를 부탁 드립니다.
 
 
<성균관대학교 응용통계연구소 세미나>
 
Stochastic Differential Games and Viscosity Solutions of Hamilton-Jacobi-Bellman-Isaacs Equations
-Joint work with Rainer Buckdahn
 
Juan Li
Shandong University
Weihai, China
 
 
일시: 2009년 2월 12일 (목요일) 오후 4:30~5:30
장소: 성균관대학교 퇴계인문관 4층 31404호
 


-ABSTRACT-
In this talk we study zero-sum two-player stochastic differential games with the help of the theory of backward stochastic differential equations (BSDEs). More precisely, we generalize the results of the pioneering work of Fleming and Souganidis (1989) by considering cost functionals defined by controlled BSDEs and by allowing the admissible control processes to depend on events occurring before the beginning of the game. This extension of the class of admissible control processes has the consequence that the cost functionals become random variables. However, by making use of a Girsanov transformation argument, which is new in this context, we prove that the upper and the lower value functions of the game remain deterministic. Apart from the fact that this extension of the class of admissible control processes is quite natural and reflects the behavior of the players who always use the maximum of available information, its combination with BSDE methods, in particular that of the notion of stochastic “backward semigroups” introduced by Peng (1997), allows us then to prove a dynamic programming principle for both the upper and the lower value functions of the game in a straightforward way. The upper and the lower value functions are then shown to be the unique viscosity solutions of the upper and the lower Hamilton