报告人：邵井海 教授 (天津大学应用数学中心)

报告题目：The existence of optimal control for continuous-time Markov decision processes in random environments

报告摘要：In this talk, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria. Under appropriate conditions, the value function is continuous and satisfies the dynamic programming principle. These results are established by introducing some restriction on the regularity of the optimal controls and by developing a new compactification method for continuous-time Markov decision processes, which is originally used to solve the optimal control problem for jump-diffusion processes. This is a joint work with Kun Zhao.

报告人简介：邵井海教授主要从事概率论遍历性理论、随机分析、随机微分方程方面的研究工作。多篇论文发表在著名数学刊物，包括J. Functional Analysis, Probability Theory and Related Fields, SIAM J. Control Optim, SIAM J. Math. Anal., Stochastic Processes and their Applications。

报告时间：2019年7月2日(星期二)上午10:30

报告地点：科技楼(南楼)602