2025金融数学及其计算研讨会日程安排

地点: 扬州大学数学学院56#208    时间: 2025年12月3-4日

报告人及报告简介:

报告人: 姚经 (苏州大学)

报告题目: Optimal payoff under Bregman-Wasserstein divergence constraints

报告摘要: We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate “too much” from a given benchmark. We solve this problem when the deviation is assessed via a Bregman-Wasserstein (BW) divergence, generated by a convex function. Unlike the Wasserstein distance (i.e., when ) the inherent asymmetry of the BW divergence makes it possible to penalize positive deviations different than negative ones. As a main contribution, we provide the optimal payoff in this setting. Numerical examples illustrate that the choice of  allow to better align the payoff choice with the objectives of investors.

报告人简介: 姚经，应用经济学博士，教育部引才计划人才，江苏省特聘教授，重庆市巴渝学者讲座教授，苏州市优秀领军人才。现任苏州大学特聘教授，金融工程中心副主任。主要研究方向为随机优化和金融计算方法，风险度量，绿色金融和应用统计学习等。

报告人: 李运章（复旦大学）

报告题目: An Efficient Numerical Algorithm for BSPDEs Overcoming Curse of Dimensionality

报告摘要:In this talk, we present an efficient numerical method for solving backward stochastic partial differential equations (BSPDEs), a class of problems notoriously challenging due to the curse of dimensionality because of spatial discretization. Our approach leverages a splitting technique to decompose the original BSPDE into simpler subproblems, overcoming the curse of dimensionality. The robustness result and optimal convergence rate of the algorithm are given for semi-linear BSPDEs. Numerical experiments are also provided to validate the theoretical results. This talk is based on a series of collaborative works with Juzhou Li, Jingtang Ma, Shanjian Tang, Yuyang Ye.   

报告人简介:   李运章，复旦大学智能复杂体系基础理论与关键技术实验室长聘副研究员、主任助理。主要研究领域为随机最优控制问题的高阶精度数值算法，相关成果发表于SIAM J. Control. Optim. (2篇), SIAM J. Sci. Comput., SIAM J. Financial Math., Stoch. Proc. Appl.等知名学术期刊。入选首批“启光学者”(全国共5名)，上海市白玉兰人才计划浦江项目特殊急需类(人工智能方向)，上海市晨光学者计划，国家博士后创新人才支持计划，上海市“超级博士后”激励计划。主持国家自然科学基金委青年科学基金项目，上海市“科技创新行动计划”基础研究领域项目，中国博士后科学基金面上项目，获得复旦大学新工科人才基金资助。

主办单位：扬州大学数学学院

联系人：韩强

欢迎广大师生参加！