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Title Control theory and related topics : in memory of Xunjing Li : Fudan University, China, 3-5 June 2005 / edited by Shanjian Tang, Jiongmin Yong
Published Singapore ; Hackensack, NJ : World Scientific, ©2007


Description 1 online resource (xxiii, 395 pages) : illustrations, color portrait
Contents Conference Photo; List of Participants; List of Contributors; Part One: Xunjing Li's Academic Life; A Tribute in Memory of Professor Xunjing Li on His Seventieth Birthday Jin Ma and Yuncheng You; 1. 1959-1976.; 2. 1977-1987.; 3. 1987-2001.; Acknowledgments; References; Publications of Xunjing Li; I. Books; II. Edited Conference Proceedings; III. Research Papers; IV. Conference Proceedings Papers; Students and Post-doctors Advised by Xunjing Li; I. Post-doctors.; II. Doctors.; III. Masters
Part Two: Stochastic Control, Mathematical Finance, and Backward Stochastic Di erential EquationsAxiomatic Characteristics for Solutions of Reected Backward Stochastic Di erential Equations Xiaobo Bao and Shanjian Tang; 1. Introduction; 2. The Case of the Zero Floor; 3. The Case of the Negative Floor; Acknowledgments; References; A Linear Quadratic Optimal Control Problem for Stochastic Volterra Integral Equations Shuping Chen and Jiongmin Yong; 1. Introduction; 2. State Equation and Optimal Control Problem; 3. Quadratic Functionals in Hilbert Spaces; 4. BSVIEs and Duality Principle
5. A Maximum Principle and FBSVIEsReferences; An Additivity of Maximum Expectations and Its Applications . Zengjing Chen, Matt Davison, Mark Reesor, and Ying Zhang; 1. Introduction; 2. Main Result; 3. Applications; 3.1. Compute maximum expectation; 3.2. Compute Choquet integral; 3.3. Application to PDE; 3.4. Application to European Option; References; Stochastic Control and BSDEs with Quadratic Growth Marco Fuhrman, Ying Hu, and Gianmario Tessitore; 1. Introduction; 2. The Controlled Problem; 3. The Forward-Backward System; 4. The Fundamental Relation
5. Existence of Optimal Controls: The Closed Loop EquationReferences; A Fundamental Theorem of Asset Pricing in Continuous Time with Square Integrable Portfolios Hanqing Jin and Xun Yu Zhou; 1. Introduction; 2. The Financial Market; 3. Some Preliminary Results; 4. FTAP: Deterministic Investment Opportunity Set; 5. Counterexamples: Stochastic Investment Opportunity Set; 6. Completeness; 7. Concluding Remarks; References; Indifference Pricing of Universal Variable Life Insurance . Jin Ma and Yuhua Yu; 1. Introduction; 2. Problem Formulation; 3. The HJB Equations
4. The Case of Exponential Utility5. Some Remarks on General Insurance Models; References; g Expectations and the Related Nonlinear Doob{Meyer Decomposition Theorem Shige Peng and Mingyu Xu; 1. Introduction; 2. g Solution: the Smallest Supersolution of BSDE Constrained in r; 3. F-Consistent Nonlinear Expectations; 3.1. gr-expectations; 3.2. gr-supersolutions and gr-subsolutions; 4. gr-Reected BSDEs; 5. Nonlinear Decomposition Theorem for gr- -Supermartigales and gr- Submartingales; 5.1. Nonlinear decomposition theorem for gr-supermartingale
Summary Xunjing Li (1935-2003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global community of optimal control theory of distributed parameter systems. He has made important contributions to the optimal control theory of distributed parameter systems, in particular regarding the first-order necessary conditions (Pontryagin-type maximum principle) for optimal control of nonlinear infinite-dimensional systems. He directed the Seminar of Control Theory at Fudan towards stochastic control theory in 1980s, and mathematical finance in 19
Notes "During June 3-5, 2005, Fudan University organized in Shanghai the 'Workshop on Control of Distributed Parameters and Stochastic Systems in Memory of Professor Xunjing Li's Seventieth Birthday."--Page vii
Bibliography Includes bibliographical references
Notes Print version record
Subject Stochastic control theory -- Congresses
Distributed parameter systems -- Congresses
Stochastic differential equations -- Congresses
MATHEMATICS -- Calculus.
MATHEMATICS -- Mathematical Analysis.
Distributed parameter systems
Stochastic control theory
Stochastic differential equations
Genre/Form Festschriften
Conference papers and proceedings
Form Electronic book
Author Li, Xunjing.
Tang, Shanjian.
Yong, J. (Jiongmin), 1958-
ISBN 9789812790552