本網站搜尋 | Web Mail   
成大 | 理學院 | 系圖書室 | 系友會   
首頁 | 連絡我們 | English Version
  

最新消息 | 演講 | 系所資訊 | 人物 | 學程 | 課程 | 資源 | 獎學金 | 研究 | 導師 | 招生

   2週內演講 | 學生演講 | 8月演講 | 6月演講 | 5月演講 | 4月演講 | 3月演講 | 2月演講 | 1月演講 | 演講日曆
 

 

8月演講

Applied Mathematics Seminar, 蘇州大學 吳聲志教授
Wednesday, August 14, 13:00—14:00 數學系3樓會議室
Title: N-agent and Mean Field Games for Optimal Investment under Relative Performance Competition and Memory
Abstract: We consider a Merton type investment-consumption problem in which the dynamics depends on its own past and the utility incorporates relative performance concern. The problem is formulated as a stochastic control problem with certain types of delay in the system. The objective is to choose trading and consumption strategies so that the expected discounted utility is maximized for an agent in the cases of finite and infinite populations. We first derive solutions to the associated Hamilton-Jacobi-Bellman equations, and then establish the optimal trading and consumption strategies in the games, and finally make comparisons with the classical Merton solutions.

   
 


首頁 | 最新消息 | 演講安排 | 系所資訊 | 人物 | 學程 | 課程 | 資源 | 獎學金 | 研究 | 導師 | 招生 | 網站地圖


國立成功大學數學系
70101 台南市大學路一號
電話︰(06) 2757575 轉 65100   傳真︰(06) 2743191
em65100[at]email.ncku.edu.tw