10月19日 | 胡明尚：Relationship between Stochastic Maximum Principle and Dynamic Programming Principle under Convex Expectation

时   间：2025年10月19日（周日）9：30 – 11：00

地   点：中北理科大楼A1714室

报告人：胡明尚   山东大学教授

主持人：李丹萍   华东师范大学教授

摘   要：

We study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectation dominated by G-expectation. Under the smooth assumptions for the value function, we get the relationship between MP and DPP under a reference probability by establishing a useful estimate. If the value function is not smooth, then we obtain the first-order sub-jet and super-jet of the value function at any t. However, the processing method in this case is much more difficult than that when t equals 0.

报告人简介：

胡明尚，山东大学中泰证券金融研究院教授，博士生导师，山东省泰山学者青年专家。主要研究方向为非线性期望、倒向随机微分方程、随机控制、金融数学等。在Transactions of the American Mathematical Society, SIAM Journal on Control and Optimization, Stochastic Processes and their Applications, Journal of Differential Equations 等杂志发表论文40余篇。近年来，主持国家自然科学基金数学天元基金重点专项1项，主持完成国家自然科学基金面上项目1项。