数学与统计学院学术报告[2021] 150号

(高水平大学建设系列报告650号)

报告题目: Two-Person Zero-Sum Linear-Quadratic Games for Mean-Field Stochastic Differential Equations

报告人： 王寒霄 博士 （　 新加坡国立大学 ）

报告时间：2021年12月9日  下午19:00

直播平台及链接： 腾讯会议会议号： 274-220-963

https://meeting.tencent.com/dm/ttIIjQauhJwS 　

报告内容：The talk is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and a sufficient condition are derived for the existence of an open-loop saddle point. It is shown that under the sufficient condition, the associated two Riccati equations admit unique strongly regular solutions, in terms of which the open-loop saddle point can be represented as a linear feedback of the current state. When the game only satisfies the necessary condition, an approximate sequence is constructed by solving a family of Riccati equations and closed-loop systems. The convergence of the approximate sequence turns out to be equivalent to the open-loop solvability of the game, and the limit is exactly an open-loop saddle point, provided that the game is open-loop solvable.

报告人简历：王寒霄，2014 年本科毕业于吉林大学，2020 年博士毕业于复旦大学，导师为雍炯敏教授。博士期间在美国中佛罗里达大学联合培养近2 年。2020 年9 月至今为新加坡国立大学数学系博士后。主要从事随机控制和随机分析的研究。已在Ann.I.H.P，ESAIM COCV，JDE等期刊发表多篇学术论文。

欢迎感兴趣的师生参加！

　　　　　　　　　　　　　　　　　　　　　　　　　 数学与统计学院

                                                2021年12月7日