Nondominated robust consumption-investment problem with Levy processes
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：梁宗霞（清华大学）
：2022-04-22 14:30
：腾讯会议ID：116569759（无密码）
报告人：梁宗霞（清华大学）
时 间：4月22日下午14:30
地 点：腾讯会议ID：116569759（无密码）
内容摘要:
In this talk, I'll present some recent joint works with Ming Ma on explicit solving nondominated robust utility maximization problem with general Levy processes under minimal assumptions, which is also a common conjecture of Merton portfolio optimization problems. I'll focus on stochastic Sion’s minimax theorem and equivalence between an infinite dimensional functional deterministic optimization and a stochastic optimization to semi-explicitly solve this maximization problem.
个人简介：
梁宗霞：博士, 清华大学数学科学系长聘教授,博士生导师.主要从事精算科学,金融数学,概率论与随机分析，随机控制与优化等理论方面的研究。在这些领域的国际顶级学术期刊Mathematical Finance, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, North American Actuarial Journal, Stochastic Processes and their Applications, Ann. Inst. Henri Poincare Probab.Statist., Journal of Functional Analysis, SIAM Journal on Control and Optimization等学术杂志上发表学术论文六十余篇，取得了系列具有国际影响力的原创性基础理论研究成果。
联系人：王文元
