Special Session 59: Backward Stochastic Volterra Integral Equations and Time Inconsistent Optimal Control Problems
Organizer(s): tianxiao wang , hanxiao wang
Parallel Session 10 :: Wednesday, 12/18, 12:30-14:30 Capital Suite 12 B
12:30-13:00
Yushi Hamaguchi
(Kyoto University, Japan)
Maximum principle for optimal control problems of stochastic Volterra equations with singular kernels
13:00-13:30
Xuedong He
(The Chinese University of Hong Kong, Hong Kong)
Asset Pricing with $\alpha$-maxmim Expected Utility Model
13:30-14:00
Ali Lazrak
(UBC, Canada)
Dynamic Portfolio Choice with Illiquid Securities: An Infinite-Horizon Stochastic LQ Framework
14:00-14:30
Yuanhua Ni
(Nankai University, Peoples Rep of China)
Solving Coupled Nonlinear Forward-backward Stochastic Differential Equations: An Optimization Perspective with Backward Measurability Loss
Parallel Session 11 :: Wednesday, 12/18, 14:45-16:45 Capital Suite 12 B
14:45-15:15
Ludger Overbeck
(Justus-Liebig-University/Institute of Mathematics, Germany)
Classical Differentiability of BSVIEs and Dynamic Capital Allocations
15:15-15:45
Chi Seng Pun
(Nanyang Technological University, Singapore)
On the Solvability of Second-order Backward Stochastic Volterra Integral Equations and Equilibrium HJB Equations
15:45-16:15
Hanxiao Wang
(Shenzhen University, Peoples Rep of China)
Optimal Controls for FBSDEs: Time-Inconsistency and Time-Consistent Solutions
Parallel Session 12 :: Wednesday, 12/18, 17:00-18:30 Capital Suite 12 B
17:00-17:30
tianxiao wang
(Sichuan University, Peoples Rep of China)
A general maximum principle for optimal control of stochastic differential delay systems
17:30-18:00
Xiaoli Wei
(Harbin Insitute of Technology, Peoples Rep of China)
Extended mean-field control problems with Poissonian common noise: Stochastic maximum principle and Hamiltonian-Jacobi-Bellman equation
18:00-18:30
Zhou Zhou
(The University of Sydney, Australia)
Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
