Speaker: Dr. Jinniao Qiu is an associate professor in the Department of Mathematics and Statistics, University of Calgary. He received his Ph.D. from the School of Mathematical Sciences, Fudan University, in 2012. After that, he was a postdoctoral fellow in Humboldt-University Berlin first and then a limited-term assistant professor in the University of Michigan. In 2017, he joined the University of Calgary. The research interests include stochastic control, games, and optimizations, (stochastic) PDEs, mathematical finance and economics, and nonlinear dynamical systems.

Date: May 9, 2025

Time: 15:00-16:00 pm

Location: E119, Huagang East Building, Shandong University Qingdao Campus

Sponsor: Research Center for Mathematics and Interdisciplinary Sciences, Shandong University

Abstract:

In this talk, we shall present the recent progress in the study of stochastic Hamilton-Jacobi-Bellman (HJB) equations, which arise naturally in the context of non-Markovian control problems with random coefficients. The non-Markovian nature of these problems may also involve path dependence or mean-field interactions, in addition to general randomness in the coefficients. The discussion will cover various aspects, including the well-posedness of such stochastic HJB equations, numerical approximation methods, and their applications.

For more information, please visit:

https://www.view.sdu.edu.cn/info/1020/201957.htm