題目:Dynamic Game Theoretic Models and its Application
報告人:萬偉博士,美國Claflin大學
時間:2009年6月26日(星期五)下午4:00pm
地點:中心教學樓10層1003房間
報告內容摘要:
Dr. Wei Wan will introduce Differential Games (DG) and Stochastic Differential Game (SDG). Dynamic and Competition is the essence of the world. DG model incorporate these two factors together so that it is a powerful tool to investigate the development of the nature and society. Dr. Wei will present different types of DG model. In each type of DG, Dr. Wei will discuss different definitions of Equilibrium/solution, different methods to derive the Optimality Condition, and different method/algorithm to solve the models.
Dr. Wei applied DG/SDG models to competition in general market and financial market. In general market, Dr. Wei set up and solved models, then gave practical guideline for real competition based on numerical results. In financial market, Dr. Wei use SDE model to price an option, which regards the pricing process as SDE between option seller and buyer, and derive Optimality Conditions for the pricing model. This way to price an option is totally different from the traditional - Black-Scholes-way.
報告人簡介:
萬偉博士畢業于美國北卡羅來納州立大學運籌學專業,是INFORMS、American Mathematical Society、 Society for Industrial and Applied Mathematics等多個國際學會的會員,其研究興趣包括:微分博弈在無限維空間的解的存在性;微分博弈模型的逆問題;隨機微分博弈模型在金融市場的運用(資產定價);微分博弈模型在傳染病傳播中的運用等領域。