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必威、所2019年系列学术活动(第67场):戴民 教授 新加坡国立大学

发表于: 2019-05-22   点击: 

报告题目:Penalty Method for Portfolio Selection with Capital Gains Tax

报 告 人:戴民 教授 新加坡国立大学

报告时间:2019527 1500-1600

报告地点:数学楼三楼会议室

报告摘要:

We consider a singular stochastic control problem arising from continuous-time portfolio selection with capital gains tax, where the associated Hamilton-Jacobi-Bellman (HJB) equation admits infinitely many solutions. We show that its penalized equation has a unique solution and thus the penalty method can be employed to numerically find the value function that corresponds to the minimal viscosity solution of the original HJB equation. This work is jointly with Baojun Bian, Xinfu Chen, and Shuaijie Qian.

报告人简介:

戴民教授,新加坡国立大学数量金融中心主任,新加坡国立大学数量金融硕士项目主任,Journal of Economic Dynamics and ControlAsia-Pacific Journal of Operational ResearchSIAM Journal on Financial MathematicsMathematics and Financial Economics副主编;Digital Finance合作编辑。