报告人：Harry Zheng教授
时 间：2025年3月31星期一 14:30 --15:30
地 点：览秀楼105室
报告摘要:
we study a finite horizon optimal investment stopping problem with unobservable random variable for the return of risky asset. Using the Bayesian filter and the dual control approach, we transform the original primal problem into a dual finite horizon optimal stopping problem, which results in the dual value function satisfying a variational inequality with two state variables. For a class of utility functions that include power utility and non-HARA utility, we show that the free boundary satisfies a Volterra type nonlinear integral equation with expectation over the joint distribution of the dual state process and the filtered probability process and we simplify and solve the integral equation with the dimension reduction and backward recursive methods. We also construct two simple closed form approximations for the free boundary using its asymptotic properties and show their accuracy and efficiency with numerical examples. Furthermore, we demonstrate that different model parameters may lead to one, or two, or no free boundaries with a simple example. (Joint work with Jingtang Ma and Jie Xing)
个人简介:
Harry Zheng，英国帝国理工学院教授，从事随机控制、金融数学领域研究，在Operations Research, Mathematics of Operations Research, SIAM Journal on Control and Optimization, Finance and Stochastics, Mathematical Finance等top期刊发表数十篇论文。
