Computations of the stochastic control problems from finance and insurance
报告人： Jingtang Ma (Southwestern University of Finance and Economics)
地点：Tencent Meeting (280219727)
Abstract: In this talk, I will present two classes of numerical methods for solving the stochastic control problems (or HJB equations/variational inequalities) arising in finance and insurance. The first one is the finite difference method (FDM) with iteration policy for solving the HJB equations and variational inequalities arising in regime switching optimal investment. The second one is the delta family approach for the two-dimensional stochastic control (and stopping) problems from the optimal investment and reinsurance-investment, including the case under the classical and rough Heston stochastic volatility models, and stochastic local volatility models such as the stochastic alpha beta rho (SABR) models. The convergence for the first one is obtained, while not for the second one, although it is relatively easier to implement.
About the Speaker:
马敬堂, 西南财经大学数学学院、教授、博士生导师、院长，教育部新世纪优秀人才。现任教育部大学数学课程教学指导委员会工作委员，中国计算数学学会理事，四川省数学会常务理事，中国运筹学会金融工程与金融风险管理分会副理事长，East Asian Journal on Applied Mathematics编委。主要研究方向为：计算数学、金融数学（期权定价模型和方法、最优投资算法、随机控制计算、HJB方程数值解）。在SIAM Journal on Control and Optimization, European Journal of Operational Research等期刊发表论文。
Online: Tencent Meeting（ID: 280219727; password:123456）
Meeting Link: https://meeting.tencent.com/dm/P4P9ICNwi95K