国产a片 学术报告[2026]080号

（高水平大学建设系列报告1339号）

报告题目：Comparison theorems for multi-dimensional BSDEs with jumps and applications to constrained stochastic linear-quadratic control

报告人：时晓敏 副教授 （山东财经大学）

报告时间：2026年7月22日16:00—17:00

报告地点：国产a片 粤海校区汇星楼514会议室

报告摘要：In this talk, I will present two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for one-dimensional case. Using these and other delicate tools, we then construct solutions to coupled two-dimensional stochastic Riccati equation with jumps in both standard and singular cases. In the end, these results are applied to solve a cone-constrained stochastic linear-quadratic control problem and a mean-variance portfolio selection problem with jumps. Different from no jump problems, the optimal (relative) state processes may change their signs, which is of course due to the presence of jumps. This talk is based on a joint work with Prof. Ying Hu and Prof. Zuo Quan Xu.

报告人简介：时晓敏，博士毕业于山东大学金融数学与金融工程专业，现为山东财经大学统计与数学学院副教授，研究兴趣是倒向随机微分方程、随机控制、金融数学等。成果发表于Annals of Applied Probability, SIAM Journal on Control and Optimization，SIAM journal on Financial Mathematics, ESAIM: Control, Optimisation and Calculus of Variations，Applied Mathematics and Optimization等学术期刊。

邀请人：王寒霄

国产a片

2026年7月21日