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                                                     Seminar

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

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Title

:

Equilibrium of Time-Inconsistent Stochastic Linear--Quadratic Control

　

　

　

Speaker

:

Prof. Hanqing Jin

　

　

Mathematical Institute, University of Oxford.

　

　

 

　

　

　

Date

:

Aug 26th, 2011 (Friday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

In this work, we study equilibrium solutions for a LQ control problem with state-dependent terms in the objective, which destroy the time-consistence of a pre-committed optimal solution. We get a sufficient condition for equilibrium by a system of stochastic differential equations. When the coefficients in the problem are all deterministic, we find an explicit equilibrium for general LQ control problem. For the mean-variance portfolio selection in a complete financial market, we also get an explicit equilibrium with random coefficient of the financial.


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Biography:
　

Dr. Jin is a University Lecturer in the Mathematical Institute at the University of Oxford.
He received his MS in Mathematics from Nankai University in 2001, and the PhD in Financial Engineering from Chinese University of Hong Kong in 2004. He stayed in the Department as a postdoctoral fellow for two years after graduation, and then worked in the Math department in the National University of Singapore as an assistant Professor. In Jan 2008, he moved to the university of Oxford. His research interests include Mathematical Finance, Operation Research, and Stochastic Analysis.


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

　

　

　

Host

:

Prof. Chen Nan

Tel

:

(852) 2609 8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

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

:

seem5201@se.cuhk.edu.hk

　

　

　

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