加入支持让我们有继续维护的动力！会员畅享查看所有预告
立即购买
12月13日 Chao Zhou：Convergence analysis on the particle systems with centralized control
- 来源：
- 学校官网
- 收录时间：
- 2024-12-11 09:42:26
- 时间：
- 2024-12-13 13:30:00
- 地点：
- 普陀校区理科大楼A1514
- 报告人：
- Chao Zhou
- 学校：
- -/-
- 关键词：
- convergence analysis, particle systems, centralized control, HJB equations, stochastic maximum principle, Riccati type BSDE
- 简介：
- This paper deals with the optimization problem of a class of controlled N-particle systems. We establish the regularity results, which is uniform in N, on the HJB equations corresponding to the N-particle system. The uniform regularity results are obtained by the stochastic maximum principle and the analysis on a Riccati type BSDE. Using the uniform regularity results, we show the convergence of value function and optimal control as the number N of particles tends to infinity, where the convergence rates are also given. This is based on a joint work with Huafu Liao, Alpar Meszaros and Chenchen Mou.
- -/- 188
报告介绍：
This paper deals with the optimization problem of a class of controlled N-particle systems. We establish the regularity results, which is uniform in N, on the HJB equations corresponding to the N-particle system. The uniform regularity results are obtained by the stochastic maximum principle and the analysis on a Riccati type BSDE. Using the uniform regularity results, we show the convergence of value function and optimal control as the number N of particles tends to infinity, where the convergence rates are also given. This is based on a joint work with Huafu Liao, Alpar Meszaros and Chenchen Mou.
报告人介绍：
Chao Zhou is a Quantitative Research Director at Qube Research & Technologies (QRT). Before joining QRT, he was an Associate Professor in the Department of Mathematics and Risk Management Institute at the National University of Singapore. He earned his PhD in Applied Mathematics from CMAP, Ecole Polytechnique, in France.
