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数学系学术讲座(五十二、五十三)

来源:作者:发布时间:2018年12月03日 浏览次数: [字体: ]

 

题目一:A Mean-Variance Approach to Capital Investment Optimization

内容简介:We develop an improved model of capital investment under uncertainty that incorporates the variance of the capital stock in the payoff functional to manage risk.  Our model results in a mean field type control problem that cannot be solved by classical stochastic control methods.  We solve our problem using techniques presented in Bensoussan, Frehse and Yam. The explicit solution is a feedback depending on the initial condition. Numerical results suggest that the risk reduction optimally exceeds the cost incurred. Following Bjork, Khapko and Murgoci, we solve for a time-consistent solution, i.e., the best possible feedback independent of the initial condition. The time-consistent policy discards our risk specification, with the resultant loss of value to the firm.

报告人:暨南大学数学系  闫中凤  讲师

报告人简介:主要从金融数学与金融工程方向的理论与应用研究。访问美国Wayne State University(国家公派博士联合培养项目)和荷兰 University of Amsterdam(国家青年骨干教师项目)各一年。曾在Mathematical Finance (SCI 一区)及SIAM Journal on Financial Mathematics (SIFIN)等国际顶尖期刊上发表学术论文。主持国家自然科学基金两项(青年基金、天元基金)、暨南大学科研培育与创新基金一项。

 

题目二:Extended Sampling Method in Inverse Scattering

内容简介:A new sampling method for inverse scattering problems is proposed to process far field data of one incident wave. As a sampling method, it sets up ill-posed integral equations and uses the solutions to reconstruct the unknown target. But in contrast to the classical linear sampling method, the kernels of the associated integral operators are the far field patterns of sound-soft balls. The measured data is moved to right hand sides of the equations, which gives the method the ability to process limited aperture data. We consider this method in both inverse acoustic problems and inverse elastic problems. Theoretical analysis and numerical examples show that the method can effectively determine the location and approximate the support with little a priori information of the unknown target.

报告人:暨南大学数学系  刘娟  副教授

报告人简介:2017-2018学年美国密歇根理工大学访问学者。研究领域为数学物理反问题,主要方向为波动反散射问题的理论分析和数值计算。已在“Inverse Problems”, "Journal of computational and applied mathematics"等国际期刊发表多篇学术论文。曾获得2016年广东省计算数学优秀青年论文二等奖和2014年暨南大学本科教学校长奖。已主持完成国家自然科学基金天元基金项目一项,目前主持国家自然科学基金青年基金项目及广东省自然科学基金项目各一项。

 

时  间:2018年12月5日(周三)下午2:30始

地  点:南海楼224室

 

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信息科学技术学院

2018年12月3日


 

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