报告题目：Time-inconsistent stochastic control with logarithmic states: Characterization of equilibrium
时 间：2025年12月26日（星期五）10:00
地 点：科研楼18号楼1102
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
报告摘要：In this paper, we study a class of time-inconsistent stochastic control problems with quadratic cost functionals, where the state process is defined by the logarithm of a controlled geometric Brownian motion. By applying the spike variation technique, we establish a sufficient condition for open-loop equilibrium strategies, revealing their state-dependent nonlinear feedback structure, and analyze the existence of such strategies. As an application, we solve a mean-variance portfolio problem for log returns with state-dependent risk attitude under non-Markovian conditions. Applying the sufficient condition, we derive an explicit equilibrium strategy and its existence is obtained through the solvability of a fully coupled nonlinear forward-backward stochastic differential equation (FBSDE).
报告人简介：赵慧，南开大学南开-泰康保险与精算研究院教授，现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员、中国优选法统筹法与经济数学研究会量化金融与保险分会理事，中国现场统计研究会风险管理与精算分会理事,天津市工业与应用数学学会理事。作为项目负责人，主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。在金融数学和精算领域期刊《European Journal of Operational Research》、《Journal Of Optimization Theory And Applications》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Journal of Computational and Applied Mathematics》、《Applied Mathematics and Computation》等发表论文40余篇。曾获第十八届天津市社会科学优秀成果奖三等奖，入选天津市131创新型人才培养工程第三层次人选等。