报告人：谭小路, Associate professor （The Chinese University of Hong Kong）

时间：2023年6月15日周四下午14：00-15:00

腾讯会议ID：675750277

报告题目：The Dynamic Programming Principle of the McKean-Vlasov Control Problem

报告摘要：

We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian formulations, and allowing for the law of the control process to appear in the state dynamics. By interpreting the controls as probability measures on an appropriate canonical space with two filtrations, we then develop the classical measurable selection, conditioning and concatenation arguments in this new context, and establish the dynamic programming principle under general conditions.

报告人简介：

Prof. Xiaolu Tan is an associate professor at the Chinese University of Hong Kong. Previously, he did his PhD at Ecole Polytechnique in Paris, and then worked as assistant professor at University of Paris Dauphine. His main research interest covers the stochastic optimal control, stochastic numerical method, mathematical finance, etc. Prof. Tan has published journal articles including AP, AAP, Math. Finance, Ann. Inst. Henri Poincaré Probab. Stat, SIAM J. Control Optim. etc.