时 间：2021年5月14日（周五）10:15-11:15
地 点：腾讯会议ID：748 156 071
题 目：Stackelberg Stochastic Differential Game with Asymmetric Noisy Observations
主讲人：史敬涛 山东大学数学学院教授
主持人：徐方军教授
摘 要：
This talk is concerned with a Stackelberg stochastic differential game with asymmetric noisy observation. In our model, the follower cannot observe the state process directly, but could observe a noisy observation process, while the leader can completely observe the state process. Open-loop Stackelberg equilibrium is considered. The follower first solves a stochastic optimal control problem with partial observation, the maximum principle and verification theorem are obtained. Then the leader turns to solve an optimal control problem for a conditional mean-field forward-backward stochastic differential equation, and both maximum principle and verification theorem are proved. A linear-quadratic Stackelberg stochastic differential game with asymmetric noisy observation is discussed to illustrate the theoretical results in this paper. With the aid of some new Riccati equations, the open-loop Stackelberg equilibrium admits its state estimate feedback representation. Finally, an application to the resource allocation and its numerical simulation are given to show the effectiveness of the proposed results. Joint work with Ph. D Yueyang Zheng (SDU).
报告人简介：
史敬涛，山东大学数学学院教授、博士生导师，概率统计研究所党支部书记。2003年参加工作，2009年获理学博士学位。主要从事随机控制、微分对策、正倒向随机系统、时滞随机系统与金融数学等领域的研究。在 IEEE Transactions on Automatic Control、Automatica、SIAM Journal on Control and Optimization 等国际重要学术期刊和 American Control Conference、Chinese Control Conference 等国际重要学术会议发表学术论文60余篇。曾获中国科协期刊优秀学术论文奖、张嗣瀛优秀青年论文奖、山东省高校科学技术奖等奖项，主持多项国家和山东省自然科学基金项目，参与国家自然科学基金重点项目和科技部国家重点研发计划项目子课题。现为中国自动化学会控制论专业委员会随机系统控制学组委员。