講座主題：Linear Quadratic Stackelberg Stochastic Differential Games: Closed-Loop Solvability
專家姓名：史敬濤
工作單位：山東大學(xué)
講座時間：2021年12月22日 19:30-20:10
講座地點：騰訊會議，會議ID：695 628 515
主辦單位：煙臺大學(xué)數(shù)學(xué)與信息科學(xué)學(xué)院
內(nèi)容摘要：
This talk is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The notion of the closed-loop solvability is introduced, which require to be independent of the initial state. The follower’s problem is solved first, and the closed-loop optimal strategy is characterized by a Riccati equation, together with an adapted solution to a linear backward stochastic differential equation. Then the necessary conditions of the existence of the leader’s non-anticipating closed-loop optimal strategy is obtained via a system of cross-coupled Riccati equations. The sufficiency is open since the completion-of-square method is invalid.
Joint work with Dr. Zixuan Li (SDU).
主講人介紹：
史敬濤，山東大學(xué)數(shù)學(xué)學(xué)院教授、博士生導(dǎo)師。主要從事隨機控制、微分對策、正倒向隨機系統(tǒng)、時滯隨機系統(tǒng)與金融數(shù)學(xué)等方面的研究。曾赴美國、澳大利亞、香港、澳門等國家和地區(qū)訪問交流。目前在SIAM Journal on Control and Optimization、IEEE Transactions on Automatic Control、Automatica等國際學(xué)術(shù)期刊發(fā)表論文30余篇，曾獲中國科協(xié)期刊優(yōu)秀學(xué)術(shù)論文獎、張嗣瀛優(yōu)秀青年論文獎、山東省高等學(xué)校科學(xué)技術(shù)獎等獎項，主持和參與多項國家和山東省自然科學(xué)基金項目，參與國家重點研發(fā)計劃子課題和國家自然科學(xué)基金重點項目。現(xiàn)為中國自動化學(xué)會控制論專業(yè)委員會隨機系統(tǒng)控制學(xué)組委員。
