李迅教授做客我院学术讲座
  • 文:  
  • 2016-12-05

本网讯 122日上午,香港理工大学李迅教授做客我院学术讲座,在南校区教学楼B304室与我院师生分享了“Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint”的研究成果。我院党委书记马庆华教授,副院长姚海祥教授,云山讲座讲授易法槐及研究生代表出席讲座。讲座由姚海祥主持。

讲座现场

李迅教授首先介绍了控制约束下的时间不一致随机线性二次控制问题,证明均衡解的存在等价于存在一些具有约束的正向-倒向随机微分方程的解,接着提出一个明确的解决方案求解均值-方差投资组合选择的凸锥约束下的均衡解,并显示构建的解决方案是唯一的。最后,他得出结论:Rules Rather Than Discretion,这给予了我们新的探索机会,时间不一致性在控制和数学金融方面还有很大的探索空间,因而有更多创新研究的新机遇。

李迅分享研究成果

合影

本次讲座由金融学院、“投资管理、期权定价和风险管理”科研创新团队主办,体现了我院在教学科研方面聚焦前沿,目的在于结合国家与广东省的金融创新、金融服务的实际需求及运用,提升团队的研究能力,建设具有承接国家级项目的团队。

主讲人简介:

Xun Li received the B.S. degree in 1992 from the Department of Mathematics at Shanghai University of Science and Technology, the M.S. degrees in 1995 from the Department of Mathematics at Shanghai University. He received the Ph.D. degree in 2000 from the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He was a postdoctoral research fellow until 2001 with the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. From 2001 to 2003, he was a postdoctoral fellow in the Mathematical and Computational Finance Laboratory at University of Calgary. From 2003 to 2007, he was a visiting fellow in the Department of Mathematics at National University of Singapore. He joined the Department of Applied Mathematics at the Hong Kong Polytechnic University in 2007. His main research areas are applied probability and stochastic control with financial applications. Dr. Li has published in journals such as SIAM Journal on Control and Optimization, Annals of Applied Probability, IEEE Transactions on Automatic Control, Automatica, Mathematical Finance and Quantitative Finance



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学院地址:中国广州市番禺区小谷围广州大学城广东外语外贸大学(南校区)金融学院教学楼 B 座 306,邮编:510006

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