題目：Robust optimal stopping with regime switching

　　報告人：呂思宇

　　時間：2024年11月13日（周三），上午10：00-11：00

　　地點：理學院1-301會議室

　　報告摘要：This work is concerned with an optimal stopping problem in the presence of model uncertainty and regime switching. In this work, the max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical framework for such kind of problem. First, under certain smoothness requirement, a verification theorem consisting of a set of sufficient conditions for robust optimality is established. Then, based on the dynamic programming principle, the value function of the optimal stopping problem is characterized as the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Moreover, when the Markov chain has a large state space and exhibits a two-time-scale structure, a singular perturbation approach is utilized to reduce the complexity involved. Finally, an example of choosing the best time to sell a stock is provided. Numerical experiments are reported to illustrate the theoretical results and to gain insights into the implications of model uncertainty and regime switching.

　　This talk is based on a joint work with Prof Zhen Wu (Shandong University), Prof Jie Xiong (SUSTech), and Prof Xin Zhang (Southeast University).

　　報告人簡介：

　　呂思宇，東南大學數學學院副教授、碩士生導師。2017年在山東大學數學學院獲得博士學位。2015年至2016年在美國佐治亞大學數學系訪問學習。多次到香港理工大學、香港城市大學、南方科技大學、復旦大學等從事合作研究。主要研究領域為隨機系統的最優控制和微分對策理論及其在金融中的應用，取得了以動態規劃方法為特色的創新性成果。在國際重要學術期刊Automatica、Applied Mathematics & Optimization、Annals of Operations Research、Systems & Control Letters等發表多篇論文。主持國家自然科學基金面上項目等多項國家級和省部級科研項目，入選江蘇省科協青年科技人才托舉工程、東南大學“至善青年學者”支持計劃等。