太阳集团官网学术报告[2024] 080号

(高水平大学建设系列报告960号)

报告题目: Time-consistent Open-loop Solutions for Linear Quadratic Stackelberg Differential Games and Its Application in Pension Management

报告人：赵慧，副教授，天津大学

报告时间：2024.08.09上午10:30-11:30am

讲座地点：汇星楼 501

报告内容：This paper formulates a general time-inconsistent linear quadratic mean-field Stackelberg differential game. We define the equilibrium strategies for the follower and the leader, which are two open-loop controls. The sufficient conditions for equilibrium controls are derived via two flows of forward-backward stochastic differential equations. Finally, we consider a Stackelberg game between a pension manager and the policy holders as an application. Applying the general sufficient condition, we obtain equilibrium strategies for the pension manager and the policy holders.

报告人简历：天津大学数学学院副教授，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。在金融和精算领域期刊《European Journal of Operational Research》、《Insurance: Mathematics and Economics》、《Quantitative Finance》、《Scandinavian Actuarial Journal》、《Astin Bulletin》等发表论文30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和天津大学北洋学者。

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邀请人：李婧超

太阳集团官网

2024年8月7日