鱼虾蟹游戏

题    目：Analyzing Systems of Coupled Forward-Backward Stochastic Differential Equations: Fast and Slow Motions, Associated Quasi-Linear Partial Differential Equations, and Applications

主讲人：吴付科   教授

单    位：华中科技大学

时    间：4月24日 17:00

地    点：鱼虾蟹游戏 南阶梯教室

摘    要：This work analyzes systems of coupled forward-backward stochastic differential equations with fast and slow motions. First, well-posedness and a number of estimates of the systems are established. Then the paper is focused on obtaining averaging principles in the sense of mean-square convergence uniform in finite time interval for solutions of both forward and backward stochastic differential equations. The averaging principle enables us to further analyze certain associated quasi-linear PDEs. In addition, as an application, the convergence of a class of associated singularly perturbed stochastic control problems is established.

简    介：吴付科，华中科技大学鱼虾蟹游戏 教授，国家级高层次人才计划入选者。2003年博士毕业于华中科技大学。2015年获得湖北省自然科学奖二等奖，2017年获得英国皇家学会牛顿高级学者基金，2025年主持国家自然科学基金重点项目。主要从事随机微分方程及其相关领域研究，代表性成果发表在主要成果发表在SIAM J. Appl. Math., SIAM J. Numer. Anal., SIAM J. Control Optim., J. Differential Equations, Numer. Math., Stoch. Proc. Appl., Automatica和IEEE TAC等国际权威期刊。