題目：Robust optimal stopping with regime switching

　　報(bào)告人：呂思宇

　　時(shí)間：2024年11月13日（周三），上午10：00-11：00

　　地點(diǎn)：理學(xué)院1-301會(huì)議室

　　報(bào)告摘要：This work is concerned with an optimal stopping problem in the presence of model uncertainty and regime switching. In this work, the max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical framework for such kind of problem. First, under certain smoothness requirement, a verification theorem consisting of a set of sufficient conditions for robust optimality is established. Then, based on the dynamic programming principle, the value function of the optimal stopping problem is characterized as the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Moreover, when the Markov chain has a large state space and exhibits a two-time-scale structure, a singular perturbation approach is utilized to reduce the complexity involved. Finally, an example of choosing the best time to sell a stock is provided. Numerical experiments are reported to illustrate the theoretical results and to gain insights into the implications of model uncertainty and regime switching.

　　This talk is based on a joint work with Prof Zhen Wu (Shandong University), Prof Jie Xiong (SUSTech), and Prof Xin Zhang (Southeast University).

　　報(bào)告人簡(jiǎn)介：

　　呂思宇，東南大學(xué)數(shù)學(xué)學(xué)院副教授、碩士生導(dǎo)師。2017年在山東大學(xué)數(shù)學(xué)學(xué)院獲得博士學(xué)位。2015年至2016年在美國(guó)佐治亞大學(xué)數(shù)學(xué)系訪問學(xué)習(xí)。多次到香港理工大學(xué)、香港城市大學(xué)、南方科技大學(xué)、復(fù)旦大學(xué)等從事合作研究。主要研究領(lǐng)域?yàn)殡S機(jī)系統(tǒng)的最優(yōu)控制和微分對(duì)策理論及其在金融中的應(yīng)用，取得了以動(dòng)態(tài)規(guī)劃方法為特色的創(chuàng)新性成果。在國(guó)際重要學(xué)術(shù)期刊Automatica、Applied Mathematics & Optimization、Annals of Operations Research、Systems & Control Letters等發(fā)表多篇論文。主持國(guó)家自然科學(xué)基金面上項(xiàng)目等多項(xiàng)國(guó)家級(jí)和省部級(jí)科研項(xiàng)目，入選江蘇省科協(xié)青年科技人才托舉工程、東南大學(xué)“至善青年學(xué)者”支持計(jì)劃等。