題目一：A Mean-Variance Approach to Capital Investment Optimization
内容簡介：We develop an improved model of capital investment under uncertainty that incorporates the variance of the capital stock in the payoff functional to manage risk. Our model results in a mean field type control problem that cannot be solved by classical stochastic control methods. We solve our problem using techniques presented in Bensoussan, Frehse and Yam. The explicit solution is a feedback depending on the initial condition. Numerical results suggest that the risk reduction optimally exceeds the cost incurred. Following Bjork, Khapko and Murgoci, we solve for a time-consistent solution, i.e., the best possible feedback independent of the initial condition. The time-consistent policy discards our risk specification, with the resultant loss of value to the firm.
報告人：太阳集团app首页數學系 闫中鳳 講師
報告人簡介：主要從金融數學與金融工程方向的理論與應用研究。訪問美國Wayne State University(國家公派博士聯合培養項目)和荷蘭 University of Amsterdam(國家青年骨幹教師項目)各一年。曾在Mathematical Finance （SCI 一區）及SIAM Journal on Financial Mathematics (SIFIN)等國際頂尖期刊上發表學術論文。主持國家自然科學基金兩項（青年基金、天元基金）、太阳集团app首页科研培育與創新基金一項。
題目二：Extended Sampling Method in Inverse Scattering
内容簡介：A new sampling method for inverse scattering problems is proposed to process far field data of one incident wave. As a sampling method, it sets up ill-posed integral equations and uses the solutions to reconstruct the unknown target. But in contrast to the classical linear sampling method, the kernels of the associated integral operators are the far field patterns of sound-soft balls. The measured data is moved to right hand sides of the equations, which gives the method the ability to process limited aperture data. We consider this method in both inverse acoustic problems and inverse elastic problems. Theoretical analysis and numerical examples show that the method can effectively determine the location and approximate the support with little a priori information of the unknown target.
報告人：太阳集团app首页數學系 劉娟 副教授
報告人簡介：2017-2018學年美國密歇根理工大學訪問學者。研究領域為數學物理反問題，主要方向為波動反散射問題的理論分析和數值計算。已在“Inverse Problems”, "Journal of computational and applied mathematics"等國際期刊發表多篇學術論文。曾獲得2016年廣東省計算數學優秀青年論文二等獎和2014年太阳集团app首页本科教學校長獎。已主持完成國家自然科學基金天元基金項目一項，目前主持國家自然科學基金青年基金項目及廣東省自然科學基金項目各一項。
時 間：2018年12月5日（周三）下午2：30始
地 點：南海樓224室
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2018年12月3日