薄立军教授学术报告

发布时间:2018年10月25日 作者:鲍建海   消息来源:    阅读次数:[]

题目:Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching

报告人:薄立军教授 中国科学技术大学

地点:数理楼小学术报告厅

时间: 16:00-17:00 20181026

Abstract: We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize the value function of the risk sensitive stochastic control problem, we investigate the corresponding recursive infinite-dimensional nonlinear dynamical programming equations (DPEs) based on default states. We propose to work in the following procedure: Applying the theory of the monotone dynamical system, we first establish the existence and uniqueness of classical solutions to the recursive DPEs by a truncation argument in the finite state space. Moreover, the associated optimal feedback strategy is characterized by developing a rigorous verification theorem. Building upon results in the first stage, we construct a sequence of approximating risk sensitive control problems with finite state space and prove that the resulting smooth value functions will converge to the classical solution of the original system of DPEs. The construction and approximation of the optimal feedback strategy for the original problem are thoroughly discussed.

薄立军教授2003年本科毕业于西安电子科技大学2006年硕士研究生毕业于南开大学, 导师王永进教授; 2009 博士毕业于南开大学,导师王永进教授;2013年于西安电子科技大学科技大学晋升教授职称;2015年受聘于中国科学技术大学教授.

薄立军教授的研究兴趣主要集中于随机分析、数理金融、随机控制与优化、排队系统与存储理论等. 薄立军教授先后在Math. Finance SIAM J. Control Optim. SIAM J. Financial Math. Quant. Finance Queueing Syst.JDEs, Insurance Math. Econom.等期刊发表60余篇高水平学术论文.



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