Financial Math——Linear-quadratic mean-field team with continuum heterogeneous agents
报告人：冯新伟 （山东大学）
时间：2025-12-29 14:00-16:00
地点：智华楼-四元厅
Abstract: We study a class of stochastic linear-quadratic mean-field team involving a large number of weakly-coupled agents. Specifically, all agents are heterogenous with continuum diversity, thus they are more practical than homogeneous-type and the finite-type heterogeneous. A novel unified approach is proposed under which the intractable continuum heterogeneity can be converted to a more tractable homogeneity. As a trade-off, the underlying randomness is augmented, and all agents become weakly-exchangeable. Related asymptotic optimality is also established.
Bio: 冯新伟，山东大学教授，齐鲁青年学者，2016年博士毕业于山东大学，之后在香港中文大学和香港理工大学进行博士后研究，主要从事倒向随机微分方程、随机最优控制与概率极限理论等方面的研究，在《The Annals of Applied Probability》、《SIAM Journal on Control and Optimization》、《IEEE Transactions on Automatic Control》、《Automatica》等期刊发表论文30余篇，主持国家自然科学基金面上项目、青年基金项目以及中俄数学挑战基金等，以骨干成员参加科技部重点研发和国家自然科学基金天元基金、重点基金等项目。
