报告题目：Dynamic Programming for VaR MDPs in Continuous Spaces
时 间：2026年09月01日（星期二）15：00
地 点：理工南楼621
主 办：数学与统计学院、分析数学及应用教育部重点实验室
参加对象：相关专业师生
报告摘要：Value-at-Risk (VaR) is a widely adopted quantile-based risk measure in practice, yet incorporating VaR objectives into Markov decision processes (VaR MDPs) remains a longstanding challenge.Recent work has derived dynamic programming equations for VaR MDPs in finite state and action spaces but left the case of more general spaces unresolved. This paper establishes, for the first time, the validity of these equations in continuous spaces, for both finite- and infinite-horizon settings. Such cases naturally arise in many real-world dynamic decision-making problems. As an application, we study an optimal execution problem with a VaR objective and demonstrate that our framework enables the characterization of optimal dynamic policies, resolving an open question in the existing literature.
报告人简介：陈娴，厦门大学数学科学学院副教授。2009年本科毕业于福建师范大学数学与统计学院，2014年于中科院数学与系统科学研究院获得概率论与数理统计专业博士学位。主要从事狄氏型、随机控制和生物数学的研究，已有多项研究工作发表在Annals of Probability、Annals of Statistics、SIAM Journal on Control and Optimization、Stochastic Processes and Applications等杂志上。