活动时间：2024-12-26 15:00

活动地点：2号亚洲无码 楼2432

亚洲无码 ：张奇

亚洲无码 中文简介：

张奇，复旦大学数学科学亚洲无码 教授，博士生导师，金融数学与控制科学系主任。2007年毕业于山东大学数学亚洲无码 （与英国拉夫堡大学联合培养），2008年在英国拉夫堡大学从事博士后研究工作，同年入职复旦大学数学科学亚洲无码 。主要研究领域为倒向随机微分方程、随机偏微分方程、随机控制理论。

活动内容摘要：

In this talk, I introduce our work on the discrete-time infinite horizon backward stochastic differential equation, i.e., backward stochastic difference equation on infinite horizon. The well-posedness of this equation and the discrete-time stochastic recursive control problem is studied. By introducing a proper discrete-time dual equation on infinite horizon, we prove the stochastic maximum principle and the verification theorem for this recursive control problem. Finally, we apply the derived stochastic maximum principle to the optimal consumption problem arisen from a type of long-term trust fund. This is a joint work with Yuanyuan Ji.

主持人：闫理坦、张振中