讲座题目：Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
主讲人：胡明尚 教授
主持人：李丹萍 教授
开始时间：2025-10-19 09:30
讲座地址：普陀校区理科大楼A1714
主办单位：统计学院
报告人简介：
胡明尚，山东大学中泰证券金融研究院教授，博士生导师，山东省泰山学者青年专家。主要研究方向为非线性期望、倒向随机微分方程、随机控制、金融数学等。在Transactions of the American Mathematical Society, SIAM Journal on Control and Optimization, Stochastic Processes and their Applications, Journal of Differential Equations 等杂志发表论文40余篇。近年来，主持国家自然科学基金数学天元基金重点专项1项，主持完成国家自然科学基金面上项目1项。
报告内容：
We study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectation dominated by G-expectation. Under the smooth assumptions for the value function, we get the relationship between MP and DPP under a reference probability by establishing a useful estimate. If the value function is not smooth, then we obtain the first-order sub-jet and super-jet of the value function at any t. However, the processing method in this case is much more difficult than that when t equals 0.
