This talk is concerned with a partially observed progressive optimal control problem of forward-backward stochastic differential equations (FBSDEs) with random jumps, where the control domain is not necessarily convex, and the control variable enters all the coefficients. In our model, the observation equation is not only driven by a Brownian motion but also a Poisson random measure, which also have correlated noises with the state equation. The partially observed global maximum principle is proved in another framework, which is different from but equivalent to the commonly used one. A partially observed linear-quadratic (LQ) progressive optimal control problem of FBSDEs with random jumps is investigated, by the maximum principle and stochastic filtering, as an example. Joint work with Dr. Yueyang Zheng. 

报告人简介

史敬涛，山东大学数学学院教授、博士生导师，概率论与数理统计研究所所长。主要从事随机控制、微分对策、正倒向随机系统 、时滞随机系统与金融数学等方面的研究。曾赴美国、澳大利亚、香港 、澳门等国家和地区访问交流。目前在 SIAM Journal on Control and Optimization、IEEE Transactions on Automatic Control、Automatica 等国际学术期刊发表论文 40 余篇，曾获教育部高等学校科学研究优秀成果奖、中国科协期刊优秀学术论文奖、张嗣瀛优秀青年论文奖、山东省高等学校科学技术奖等奖项，主持和参与多项国家和山东省自然科学基金项目，参与国家重点研发计划子课题和国家自然科学基金重点项目。现为中国自动化学会控制论专业委员会(TCCT)随机系统控制学组委员 。