題目：Dynamic Game Theoretic Models and its Application
報(bào)告人：萬(wàn)偉博士，美國(guó)Claflin大學(xué)
時(shí)間：2009年6月26日（星期五）下午4:00pm
地點(diǎn)：中心教學(xué)樓10層1003房間
報(bào)告內(nèi)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(bào)告人簡(jiǎn)介：
萬(wàn)偉博士畢業(yè)于美國(guó)北卡羅來(lái)納州立大學(xué)運(yùn)籌學(xué)專業(yè)，是INFORMS、American Mathematical Society、 Society for Industrial and Applied Mathematics等多個(gè)國(guó)際學(xué)會(huì)的會(huì)員，其研究興趣包括：微分博弈在無(wú)限維空間的解的存在性；微分博弈模型的逆問(wèn)題；隨機(jī)微分博弈模型在金融市場(chǎng)的運(yùn)用（資產(chǎn)定價(jià)）；微分博弈模型在傳染病傳播中的運(yùn)用等領(lǐng)域。
