題目：A robust stochastic control problem with applications to monotone mean-variance problems

　　報告人： 羅鵬

　　時間：2024年11月13日（周三），上午9：00-10：00

　　地點：理學院1-301會議室

　　報告摘要：This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with unbounded coefficients. We further show that the robust stochastic control problem shares the same optimal control and optimal value with the stochastic control problem with a mean-variance cost functional. The results obtained are then applied to monotone mean-variance and mean-variance portfolio selection problems and monotone mean-variance and mean-variance investment-reinsurance problems.

　　報告人簡介：

　　羅鵬，現為上海交通大學數學科學學院副教授，山東大學和康斯坦茨大學博士，蘇黎世聯邦理工學院和滑鐵盧大學博士后。主要研究領域為隨機分析與金融數學，在SIFIN, JDE, SPA, EJP, AMO等期刊發表論文二十余篇。