报告人：孙景瑞 助理教授
报告时间：2020年12月11日（星期五）16:00—17:00
报告地点：腾讯会议（ID: 591 206 471）
主办单位：统计学院
报告摘要：In this talk we study the open-loop saddle point and the open-loop lower and upper values, as well as their relationship for two-person zero-sum stochastic linear-quadratic (LQ, for short) differential games with deterministic coefficients. We derive a necessary condition for the finiteness of the open-loop lower and upper values and a sufficient condition for the existence of an open-loop saddle point. Under the sufficient condition, a strongly regular solution to the associated Riccati equation uniquely exists, in terms of which we establish a closed-loop representation for the open-loop saddle point. We present examples to show that the finiteness of the open-loop lower and upper values does not ensure the existence of an open-loop saddle point in general. But for the classical deterministic LQ game, we obtain the equivalence of these two issues and an explicit representation of the solution to the Riccati equation.
报告人简介：孙景瑞博士，2015年毕业于中国科学技术大学；2015年4月至2019年1月先后在香港理工大学、新加坡国立大学、中佛罗里达大学从事博士后、研究员、访问助理教授等工作；2019年2月加入南方科技大学数学系，任助理教授。研究领域为随机最优控制及其应用，尤其是与随机微分博弈、正倒向随机微分方程、数理金融等相关的数学问题。已在Annals of Applied Probability、SIAM Journal on Control and Optimization、ESAIM: Control, Optimisation and Calculus of Variations、Stochastic Processes and their Application等国际一流期刊发表学术论文十几篇，并在Springer出版专著2部，其工作受到国内外同行的广泛关注。
