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报告人：罗鹏 副教授（上海交通大学）

时间：2025年12月08日 10:00-

地址：数统学院LD718

摘要：In this talk, I will present a recent work on a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with unbounded coefficients. We further show that the robust stochastic control problem shares the same optimal control and optimal value with the stochastic control problem with a mean-variance cost functional. The results obtained are then applied to monotone mean-variance and mean-variance portfolio selection problems and monotone mean-variance and mean-variance investment-reinsurance problems.

邀请人：张志民

欢迎广大师生积极参与！