时 间：2026年1月14日（周三）10：00 – 11：00
地 点：中北理科大楼A1714室
报告人：薛小乐 山东大学副教授
主持人：李丹萍 华东师范大学教授
摘 要：
In this talk, the short history of local and global stochastic maximum principle will be introduced. A kind of stochastic maximum principle will be given to address stochastic linear quadratic control problem. Next, we study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear FBSDEs. Inspired by Hu [PUQR,2017], we develop a new decoupling approach by introducing an adjoint equation which is a quadratic BSDE. By revealing the relations among the terms of the first-order Taylor’s expansions, we estimate the orders of them and derive a global stochastic maximum principle which includes a completely new term. Based on joint works with Profs. Mingshang Hu and Shaolin Ji.
报告人简介：
薛小乐，山东大学副教授，滑铁卢大学统计与精算博士后，理学博士，硕士生导师。长期从事随机控制、金融数学等方面的研究工作。近年来，主持国家自然科学基金项目2项，参与多项国家自然科学基金项目；在国内外核心期刊发表论文10余篇，其中包括SIAM Journal on Control and Optimization、Mathematics of Operations Research、Insurance: Mathematics and Economics等期刊。