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学术科研

Probability & Statistics Seminar

Forward and Backward Stochastic Differential Equations with Normal Constraints in Law and Mean Field Limit of Related Interacting Particle Systems

演讲者：胡瑛（雷恩第一大学）
时间：2022-02-24 16:00-17:00
地点：Zoom ID 965 6298 9314, Passcode 123456

Abstract

In this talk we investigate the well-posedness of backward or forward stochastic differential equations whose law is constrained to live in an a priori given (smooth enough) set and which is reflected along the corresponding “normal” vector. We also study the associated interacting particles system reflected in mean field and asymptotically described by such equations. Eventually, we connect the forward and backward stochastic differential equations with normal constraints in law with partial differential equations stated on the Wasserstein space and involving a Neumann condition in the forward case and an obstacle in the backward one.

报告人简介：胡瑛，法国特级教授，国际著名随机分析和随机控制专家，研究领域主要涉及随机过程、偏微分方程、随机控制和金融数学，特别是在倒向随机微分方程领域做出了卓越贡献。胡老师在 Probab. Theory Related Fields、Ann. Appl. Probab.、J. Funct. Anal.、SIAM J. Control Optim.等期刊发表论文九十余篇，总引用次数超过 2000 次。