Speaker: 周超（新加坡国立大学）

Time: 16:00-17:30, Oct 13

Venue: 数学中心研讨室（至善楼602）

Online: Zoom: 811 5638 1768（Password: msrc）

Title: Convergence analysis on the particle systems with centralized control

Abstract:

This paper deals with the optimization problem of a class of controlled N-particle systems. We establish the regularity results, which is uniform in N , on the HJB equations corresponding to the N-particle system. The uniform regularity results are obtained by the stochastic maximum principle and the analysis on a Riccati type BSDE. Using the uniform regularity results, we show the convergence of value function and optimal control as the number N of particles tends to infinity, where the convergence rates are also given. This is based on a joint work with Huafu Liao, Alpar Meszaros and Chenchen Mou.

Cirriculum Vitae:

周超博士毕业于法国巴黎九大和巴黎综合理工大学，现为新加坡国立大学数学系和风险管理研究院副教授。他同时任新加坡国立大学量化金融中心主任并负责量化金融硕士项目。周超博士的主要研究领域包括金融数学，随机控制，深度学习方法在金融中的应用。他在《The Annals of Probability》，《The Annals of Applied Probability》、《Mathematical Finance》、《Finance and Stochastics》、《Journal of Economic Dynamics & Control》、《SIAM Journal on Control and Optimization》、《SIAM Journal on Financial Mathematics》等多个国际权威的金融数学杂志上发表论 文30余篇。