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Spike Variations for Stochastic Volterra Integral Equations

发布时间:2022-11-30阅读次数:29

报告题目: Spike Variations for Stochastic Volterra Integral Equations
报 告 人: 王天啸
报告人所在单位: 四川大学
报告日期: 2022-11-30
报告时间: 15:00-16:00
报告地点: 腾讯会议:394-339-172 会议密码:200433
   
报告摘要:

Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal control for deterministic and stochastic differential equation systems when the control domains are not assumed to be convex. It is expected that such a technique could be extended to the case of (forward) stochastic Volterra integral equations (FSVIEs). However, due to the lack of differentiability, the straightforward extension does not work. This report is to develop spike variations for FSVIEs and the corresponding cost functional. Joint work with Jiongmin Yong in UCF.

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本年度学院报告总序号: 685