时间：2016年12月2日（周五）10:30-11:30
地点：广外南校区教学楼B座304室
主办单位：
·广东外语外贸大学金融学院
·“投资管理、期权定价和风险管理”科研创新团队
主讲人：香港理工大学李迅教授（博士生导师）
主题：Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint
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。
讲座内容简介：
In this work, we consider time-inconsistent stochastic linear-quadratic control problem under control constraints. We first prove that the existence of an equilibrium solution is equivalent to the existence of a solution to some forward-backward stochastic differential equations with constraints. Then we present an explicit solution to equilibrium for mean-variance portfolio selection under convex cone constraint and show that the constructed solution is unique.
