题目：Connection between MP and DPP for Stochastic Recursive Optimal Control Problems
报告人：史敬涛
时 间：2018年1月5日4：30-5：30
地 点：3-323
报告人简介：史敬涛，山东大学数学学院教授、博士生导师。主要从事随机控制、微分对策、时滞随机系统与金融数学等方面的研究，师从我国著名数学家、长江学者、国家杰出青年基金获得者吴臻教授。曾多次赴美国、日本、澳大利亚、香港、澳门等国家和地区访问交流。在IEEE Transactions on Automatic Control、Automatica,、SIAM Journal on Control and Optimization等国际重要学术期刊和IEEE International Conference on Control and Automation、American Control Conference、IFAC Symposium on Nonlinear Control System等国际重要学术会议发表论文50余篇，曾获中国科协期刊优秀学术论文奖、张嗣瀛优秀青年论文奖等奖项，主持多项国家自然科学基金项目。现为中国自动化学会控制论专业委员会随机系统控制学组委员。
Abstract：This talk deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. After some review of classical results in the literature, we focus on the connection between the general maximum principle and the dynamic programming principle for such control problem without the assumption that the value is smooth enough, the set inclusions among the sub- and super-jets of the value function and the first-order and second-order adjoint processes as well as the generalized Hamiltonian function are established. Moreover, by comparing these results with the classical ones in J. Yong and X. Zhou [Stochastic Controls: Hamiltonian Systems and HJB Equations, Springer-Verlag, New York, 1999], it is natural to obtain the first- and second-order adjoint equations of M. Hu [Stochastic global maximum principle for optimization with recursive utilities, Probability, Uncertainty and Quantitative Risk, Vol. 2, Article 1, 20 pages, 2017].（Joint work with Prof. Tianyang Nie and Prof. Zhen Wu）
