报告题目：Robust optimal stopping with regime switching
报告人：吕思宇 副教授
报告时间：2025年04月11日（星期五）上午10:00-11:00
报告地址：藕舫楼725室
主持人：吕广迎 教授
报告摘要：This work is concerned with an optimal stopping problem in the presence of model uncertainty and regime switching. In this work, the max-min formulation for robust control and the dynamic programming approach are adopted to establish a general theoretical framework for such kind of problem. First, under certain smoothness requirement, a verification theorem consisting of a set of sufficient conditions for robust optimality is established. Then, based on the dynamic programming principle, the value function of the optimal stopping problem is characterized as the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation. Moreover, when the Markov chain has a large state space and exhibits a two-time-scale structure, a singular perturbation approach is utilized to reduce the complexity involved. Finally, an example of choosing the best time to sell a stock is provided. Numerical experiments are reported to illustrate the theoretical results and to gain insights into the implications of model uncertainty and regime switching. This talk is based on a joint work with Prof Zhen Wu (Shandong University), Prof Jie Xiong (SUSTech), and Prof Xin Zhang (Southeast University).
报告人简介：吕思宇，东南大学数学学院副教授。2011年和2017年在山东大学数学学院分别获得学士学位和博士学位。2015年9月至2016年9月在美国佐治亚大学（University of Georgia）数学系访问学习。多次到香港理工大学、香港城市大学、南方科技大学、复旦大学等从事合作研究。主要研究领域为随机最优控制理论及其在金融数学中的应用。在国际重要学术期刊Automatica、Appl. Math. Optim.、Ann. Oper. Res.等发表多篇论文。主持国家自然科学基金面上项目等多项国家级和省部级科研项目，入选江苏省科协青年科技人才托举工程、南京留学人员科技创新项目择优资助（A类）、东南大学“至善青年学者”支持计划（A层次和B层次）等。
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数学与统计学院
江苏省应用数学（南京信息工程大学）中心
江苏省系统建模与数据分析国际合作联合实验室
2025年04月08日
