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2021年4月19日下午14:00-15:00，江苏省运筹学会联合苏州科技大学邀请香港理工大学李迅教授开展一场学术报告。欢迎参加！

参会方式

腾讯会议ID：901 792 150

会议密码： 234567

 题目：

Optimal Consumption with Reference 

to Past Spending Maximum

报告人

李迅教授，香港理工大学

时间

2021年4月19日（星期一） 14: 00-15:00

摘要

In this talk, the speaker will introduce the optimal consumption with a path-dependent reference under the exponential utility. The performance is measured by the difference between the non-negative consumption rate and a fraction of the historical consumption maximum. The consumption running maximum process is chosen as an auxiliary state process that renders the value function two dimensional. The Hamilton-Jacobi-Bellman (HJB) equation can be heuristically expressed in a piecewise manner across different regions to take into account constraints. By employing the dual transform and smooth-fit principle, some thresholds of the wealth variable are derived such that the classical solution to the HJB equation and the feedback optimal investment and consumption strategies can be obtained in the closed form in each region. The complete proof of the verification theorem is provided and some numerical examples are presented to illustrate some financial implications. 

报告

专家

简介

Dr. Xun Li is now a professor of Department of Applied Mathematics at the Hong Kong Polytechnic University. He received BSc from Department of Mathematics at Shanghai University of Science and Technology in 1992, and obtained MSc in Department of Mathematics at Shanghai University in 1995. He completed his PhD in Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong in 2000, and he stayed with the same department as a postdoctoral research fellow until 2001. From 2001 to 2003, he was a postdoctoral fellow in the Mathematical and Computational Finance Laboratory at University of Calgary. From 2003 to 2007, he was a visiting fellow in Department of Mathematics at the National University of Singapore. He joined Department of Applied Mathematics at the Hong Kong Polytechnic University as Assistant Professor in 2007, Associate Professor in 2013, and is currently Professor. His main research areas are stochastic control and applied probability with financial applications, and he has published in journals such as SIAM Journal on Control and Optimization, Annals of Applied Probability, Journal of Differential Equations, IEEE Transactions on Automatic Control, Automatica, Mathematical Finance and Quantitative Finance.

欢迎参加！

编辑 | 南京师范大学李婷