报告人简介
Chao Zhou is a Quantitative Research Director at Qube Research & Technologies (QRT). Before joining QRT, he was an Associate Professor in the Department of Mathematics and Risk Management Institute at the National University of Singapore. He earned his PhD in Applied Mathematics from CMAP, Ecole Polytechnique, in France.
内容简介
This paper deals with the optimization problem of a class of controlled N-particle systems. We establish the regularity results, which is uniform in N, on the HJB equations corresponding to the N-particle system. The uniform regularity results are obtained by the stochastic maximum principle and the analysis on a Riccati type BSDE. Using the uniform regularity results, we show the convergence of value function and optimal control as the number N of particles tends to infinity, where the convergence rates are also given. This is based on a joint work with Huafu Liao, Alpar Meszaros and Chenchen Mou.
