报告题目:An LQ differential game of stochastic large-population system with partial information
报告人:王光臣 教授 山东大学
邀请人:李靖教授
报告时间:2021年12月10日(周五)9:00-10:30
腾讯会议ID:906 326 616
报告人简介:王光臣,山东大学控制科学与工程学院教授、博导、自动化所所长,山东大学特聘教授,首批教育部青年长江学者,教育部新世纪优秀人才,国家杰出青年基金、优秀青年基金获得者。一直从事基于不完备信息的随机系统优化控制理论研究,取得了以倒向分离原理为特色的研究成果,在Springer出版社出版专著1部,在控制理论国际期刊IEEE TAC、Automatica和SIAM J. Control Optim.发表学术论文多篇,曾获陈翰馥奖1项,省部级科技奖3项。
报告摘要:This talk is concerned with an LQ differential game of stochastic large-population system under partial information and common noise, where the large-population system satisfies a backward rather than forward SDE, and both coupling structure and solution of the backward SDE enter state equation and cost functional. Combining maximum principle with optimal filtering, we derive an optimal control of a limiting control problem first, and then, we verify that a decentralized control strategy is an epsilon-Nash equilibrium point of the game. We also work out an example to illustrate the results above.
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