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Seminar

Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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 ¡¡ ¡¡ ¡¡ Title : Ergodic BSDEs and Applications ¡¡ ¡¡ ¡¡ Speaker : Prof. Ying Hu ¡¡ ¡¡ Universite Rennes, France ¡¡ ¡¡ ¡¡ ¡¡ ¡¡ Date : Aug 26th, 2011 (Friday) ¡¡ ¡¡ ¡¡ Time : 3:30 p.m. - 4:30 p.m. ¡¡ ¡¡ ¡¡ Venue : Room 513 ¡¡ ¡¡ William M.W. Mong Engineering Building ¡¡ ¡¡ (Engineering Building Complex Phase 2) ¡¡ ¡¡ CUHK ¡¡ ¡¡ ¡¡

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Abstract:
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 In this talk, we first introduce the notion of ergodic BSDE which arises naturally in the study of ergodic control. The ergodic BSDE is a class of infinite-horizon BSDEs where the unknown is the triple $(Y,Z,\lambda)$: $Y,Z$ are adapted processes and $\lambda$ is a real number. We review the existence and uniqueness result for ergodic BSDE under strict dissipative assumptions. Then we study ergodic BSDEs under weak dissipative assumptions. We show the existence and uniqueness of solution to the ergodic BSDE by use of uniform coupling estimates for perturbed forward stochastic differential equations. Furthermore, we give some results on ergodic BSDE with quadratic generators. Finally, applications are given to the optimal ergodic control of stochastic differential equations to illustrate our results. We give also the connections with ergodic PDEs.

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Biography:
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 Ying Hu is a Professor and the Head of "Stochastic Processes" Research Group at Universite de Rennes 1, France. He was educated at Fudan University, where he got his Ph.D. He is a codirector of an international program signed by the universities of Bretagne Occidentale, of Maine, of Rennes 1 and Shangdong. His research interests included Probability and Stochastic Processes; Stochastic Differential Equations and Backward Stochastic Differential Equations; Control and Optimisation; Mathematical Finance; Probabilistic Methods for Partial Differential Equations; Potential Theory.

************************* ALL ARE WELCOME ************************

 ¡¡ ¡¡ ¡¡ Host : Prof. Chen Nan Tel : (852) 2609 8237 Email : ¡¡ ¡¡ ¡¡ Enquiries : Prof. Nan Chen or Prof. Sean X. Zhou ¡¡ : Department of Systems Engineering and Engineering Management ¡¡ ¡¡ CUHK Website : http://www.se.cuhk.edu.hk/~seem5201 Email : ¡¡ ¡¡ ¡¡

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