数学与统计学院学术报告[2020]117号

(高水平大学建设系列报告470号)

报告题目: Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations

报告人： 牟宸辰　 博士 （香港城市大学）

报告时间：2020年11月24日 下午2:00

直播平台及链接： 腾讯会议、会议号：539 790 553

https://meeting.tencent.com/s/QJC9rD6b2CZM

报告内容：We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton–Jacobi–Bellman integro-partial differential equation in a bounded domain. We show that the unique viscosity solution is the value function of the associated stochastic optimal control problem. We also obtain the dynamic programming principle for the associated stochastic optimal control problem in a bounded domain.

报告人简历：Dr. Chenchen Mou received his bachelor's degree and master's degree in mathematics from Jilin University, China, in 2009 and 2011, respectively. He received his PhD in mathematics from Georgia Institute of Technology, USA, in 2016. Before joining City University of Hong Kong in 2020, he worked as an assistant adjunct professor at UCLA.

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　　　　　　　　　　　　　　　　　　　　　　　　  2020年11月23日