报告人： 湖州师范学院 孟庆欣教授

报告时间：2021年11月30日15：00 — 17：00

报告地点：腾讯会议 (会议 ID：657-290-312 )

报告摘要：This paper is concerned with stochastic / control problem for continuous-time stochastic differential systems with the diffusion coefficients depending explicitly on the state, control and disturbance as well as their expectations. A stochastic bounded real lemma of mean-field type is proved, which characterizes the equivalence between the  robust stability and the solvability of two coupled indefinite differential Riccati equations. This extremely critical result enables us to obtain sufficient and necessary conditions for the existence of /control for the underlying systems by virtue of the solvability of two sets of cross-coupled indefinite Riccati differential equations. Moreover, in the case that / control exists, the worst case disturbance and the optimal control input admit a linear feedback forms of the state and its mathematical expectation, via the solutions to the two sets of coupled Riccati differential equations.

个人简介：

孟庆欣：博士、教授、浙江省杰出青年基金获得者、浙江省高校中青年学科带头人、湖州市南太湖特支计划领军人才、复旦大学博士后、澳大利亚国家公派访问学者、全国大学生数学建模竞赛浙江赛区组委会、CSIAM系统与控制专业委员会委员、全国高校大数据联盟委员会委员、浙江省、山东省、湖南省、国家自然科学基金委基金评审专家。从事数据科学与大数据技术、随机分析、随机控制、金融工程等方面的研究工作，主持国家自然科学基金项目4项、浙江省自然科学基金项目3项、中国博士后基金资助项目2项。在《SIAM Journal On Control And Optimization》、《Automatica》、《System & Control Letters》、《中国科学A辑：数学》、《中国科学F辑：信息科学》等期刊发表论文30余篇。