报告人：张鑫，东南大学 

报告题目：A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance

时间：12月16（周五），上午10:30-11:30

地点：管研楼1518

摘要：Based on the theory of stochastic differential equations on a sublinear expectation space $(/Omega,/mathcal{H},/hat{/mathbb{E}})$, we develop a stochastic maximum principle for a general stochastic optimal control problem, where the controlled state process is a stochastic differential equation driven by $G$-Brownian motion. Furthermore, under some convexity assumptions, we obtain sufficient conditions for the optimality of the maximum in terms of the $/mathcal{H}$-function. Finally, applications of the stochastic maximum principle to the mean-variance portfolio selection problem in the financial market with ambiguous volatility is discussed.