学术报告 报告题目1：Optimal redeeming strategy of stock loans under drift uncertainty
报 告 人：易法槐 教授（华南师范大学）
报告时间：2018年1月6（星期六）上午09：30-10：00
报告题目2：信息、投资能力和消费理念如何影响最优的投资消费策略
报 告 人：杨舟 教授（华南师范大学）
报告时间：2018年1月6（星期六）上午10：00-10：30
报告题目3：On the second boundary value problem for a class of fully nonlinear flow
报 告 人：黄荣里 副教授（广西师范大学）
报告时间：2018年1月6（星期六）上午10：50-11：20
报告题目4：金融科技与量化交易
报 告 人：简翔 平安期货有限公司销售交易部总经理
报告时间：2018年1月6（星期六）上午11：20-11：50
邀 请 人：陈映珊 博士
报告地点：四号楼4318
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数学学院
2018年1月5日
报告摘要1: In practice, one must recognize the inevitable presence of information incompleteness when making decisions. This paper considers the optimal redeeming problem of stock loans under incomplete information that is presented by the uncertainty of the trend of underlying stock (called drift uncertainty). Because of the unavoidable estimating of the trend when making decisions, the HJB equation turns out to be a degenerate parabolic PDE; and hence it is very hard to obtain its regularity by standard approaches, making the problem distinguish from the existing optimal redeeming problems without drift uncertainty. We provide a thorough and delicate probabilistic and functional analysis to the value function to obtain its regularity. The optimal redeeming strategies turn out to be significantly different when the stock is estimated to be in its bull and bear trend.
报告摘要2: 经典的投资消费模型考虑的是理想市场中投资人的最优投资消费策略。本文拟考虑在非理想的市场中，信息、投资能力和消费理念如何影响投资人的最优投资消费策略。我们分别利用不同的模糊市场参数、贷款利率和投资约束、消费约束来描述投资者不同的信息、投资能力、消费理念；将该最优投资消费问题抽象为一个有限时区的、带有控制约束的、具有博弈性质的随机控制问题。我们首先写出该控制问题的HJB方程，并证明相应的验证定理；然后给出最大期望效用、最坏情况下的市场参数和最优的投资消费策略的显示表达式；最后利用“最优策略关于市场参数的单调性结果”对“信息、投资能力和消费理念如何影响最优的投资消费策略”进行了精细的解读。
报告摘要3：In this report, a class of fully nonlinear flows with nonlinear Neumann type boundary condition is considered. This problem was solved partly by the first author under the assumption that the flow is the parabolic type special Lagrangian equation in R2n. We show that the convexity is preserved for solutions of the fully nonlinear parabolic equations and prove the long time existence and convergence of the flow. In particular, we can prescribe the second boundary value problems for a family of special Lagrangian graphs in Euclidean and pseudo-Euclidean space.