报告题目：The Optimal Control of Ergodic Linear-Quadratic Problem with Random Periodic Coefficients: a Random Periodic Solution Approach

报 告 人： 张奇教授 复旦大学

报告时间：2026年9月3日8：30-9：30

报告地点： 腾讯会议：521-588-006

校内联系人：韩月才 [email protected]

报告摘要：

  In this talk, I introduce our recent work on the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square exponentially stable condition, and prove the random periodicity of solutions to state equation based on it. Then we prove the existence and uniqueness of random periodic solutions to two types of backward stochastic differential equations which serve as stochastic Riccati equations in the procedure of completing the square. With the random periodicity of state equation and stochastic Riccati equations, the ergodic cost functional on infinite horizon is simplified to an equivalent cost functional over a single periodic interval without limit. Finally, the closed-loop optimal controls are explicitly given based on random periodic solutions to state equation and stochastic Riccati equations. This is a joint work with my PhD student Jiacheng Wu.

报告人简介：

  张奇，复旦大学数学科学娱乐城教授、博士生导师，中国工业与应用数学学会理事。2007年毕业于山东大学娱乐城 （与英国拉夫堡大学联合培养），2008年在英国拉夫堡大学从事博士后研究工作，同年入职复旦大学数学科学娱乐城。2025年入选上海市东方英才计划拔尖项目。主要研究领域为随机控制理论、倒向随机微分方程、金融数学。