报告题目：Time-inconsistent Stochastic Control with Logarithmic States: Characterization of Equilibrium

报 告 人： 赵慧教授 南开大学

报告时间：2026年9月2日19：30-20：30

报告地点： 腾讯会议：749-489-286

校内联系人：韩月才 [email protected]

报告摘要：

  We develop a theoretical framework for time-inconsistent stochastic control where the state process is logarithmic and costs are quadratic. For this class of problems, we derive a sufficient condition for open-loop equilibrium strategies via spike variation, characterizing them as state-dependent nonlinear feedback controls and providing associated existence results. We then apply this theory to solve a concrete non-Markovian mean-variance portfolio selection problem for log returns with state-dependent risk aversion. The application yields an explicit equilibrium strategy, whose existence follows from the solvability of a corresponding fully coupled nonlinear forward-backward stochastic differential equation.

报告人简介：

  赵慧，南开大学南开-泰康保险与精算研究院教授，博士生导师，现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员、中国优选法统筹法与经济数学研究会量化金融与保险分会理事，中国现场统计研究会风险管理与精算分会理事，天津市工业与应用数学学会理事。作为项目负责人，主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。在金融数学和精算领域期刊《European Journal of Operational Research》、《Journal Of Optimization Theory And Applications》、《Insurance: Mathematics and Economics》、《Quantitative Finance》等发表论文40余篇。曾获第十八届天津市社会科学优秀成果奖三等奖，入选天津市131创新型人才培养工程第三层次人选等。