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Speaker:

Prof. Jie Xiong,Southern University of Science and Technology

Inviter: 李向东 研究员
Title:
Backward doubly stochastic Volterra integral equations and their applications
Time & Venue:

2021.2.8 15:00 腾讯会议号:167 955 442

Abstract:

In this talk, we introduce a new class of equations called backward doubly stochastic Volterra integral equations (BDSVIEs, for short). First, the well-posedness of BDSVIEs in the sense of introduced M-solutions is established. Second, a comparison theorem of BDSVIEs is proved. As an application of the comparison theorem, we derive the existence of solutions of BDSVIEs with continuous coefficients. Third, a duality principle between linear forward doubly stochastic Volterra integral equations (FDSVIEs, for short) and BDSVIEs is obtained. Moreover, by virtue of the duality principle, a maximum principle of Pontryagin type is established for an optimal control problem of FDSVIEs. This talk is based on a joint paper with Shi and Wen.

Affiliation:  

Prof. Jie Xiong:Backward doubly stochastic Volterra integral equations and their applications中国科学院数学与系统科学研究院应用数学研究所

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