91直播

91直播：张帅琪 副教授（中国矿业大学）

时间：2025年05月09日 16:00-

地点：理科楼LA103

摘要：This talk presents our recent work on stochastic control problems for systems driven by sub-diffusions, covering stochastic differential equations, forward-backward stochastic differential equations(FBSDEs), and the switching between Brownian motion and sub-diffusions. We establish the existence and uniqueness of fully coupled FBSDEs driven by sub-diffusions under suitable monotonicity conditions on the coefficients. Additionally, we explore the stochastic maximum principle and dynamic programming principle. Due to the intrinsic structure of sub-diffusions, these control problems exhibit a unique blend of deterministic and stochastic control characteristics. To illustrate our main results, we apply our results to a linear quadratic example.

邀请人：张志民

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