学术报告
Recursive utility optimization with nonsmooth coefficients - 稽少林教授 （山东大学）
题目：Recursive utility optimization with nonsmooth coefficients
报告人：稽少林教授 （山东大学）
摘要：This presentation concerns the recursive utility maximization problem without smooth condition, that is the drift of the wealth and the generator of the utility BSDE is not assumed to be differentiable. And the wealth equation need not to be stand linear, thus our model will cover the large investor case, as well as the K-ignorance model developed in Chen and Epstein CE to model ambiguity aversion rather than risk aversion. Under some convexity assumption, we turn the recursive utility maximization problem to a sup-inf problem via variational formulation of recursive utility. Using convex duality approach, we prove the sup-inf problem is equivalent to its inf-sup part and give a characterization of the saddle point
时间：11月5日（星期日）下午4:00--5:00
地点：首师大校本部新教二楼527
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