报告人简介
胡明尚，山东大学中泰证券金融研究院教授，博士生导师。主要研究方向为非线性期望、倒向随机微分方程、随机控制、金融数学等。在Transactions of the American Mathematical Society,SIAM Journal on Control and Optimization,Stochastic Processes and their Applications,Journal of Differential Equations等杂志发表论文30余篇。近年来，主持国家自然科学基金数学天元基金重点专项1项，主持完成国家自然科学基金面上项目1项。
内容简介
We obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE. This is a joint work with Shaolin Ji and Xiaojuan Li.
