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概率统计讨论班——Convergence analysis on the particle systems with centralized control

来源:数学科学学院 发布时间:2023-12-13   183


报告题目:Convergence analysis on the particle systems with centralized control

报告人:周超副教授(新加坡国立大学)

时间:20231220日(周三)上午1000开始

地点:海纳苑2102



摘要:This paper deals with the optimization problem of a class of controlled N-particle systems. We establish the regularity results, which is uniform in N, on the HJB equations corresponding to the N-particle system. The uniform regularity results are obtained by the stochastic maximum principle and the analysis on a Riccati type BSDE. Using the uniform regularity results, we show the convergence of value function and optimal control as the number N of particles tends to infinity, where the convergence rates are also given. This is based on a joint work with Huafu Liao, Alpar Meszaros and Chenchen Mou.




联系人:张荣茂(rmzhang@zju.edu.cn



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