Stochastic Differential Equations and Related Topics

主要研究人员提出研究几个长期存在的问题，包括正倒向随机微分方程(FBSDE)和随机偏微分方程(SPDEs)，以及它们在随机控制和随机金融保险理论中的应用。该研究的主要贡献包括提出了一个新的正倒向鞅问题(FBMP)的概念，以及一个研究FBSDE弱解适定性的一般框架；以及研究了完全非线性SPDEs的随机特征，这是随机粘性解理论的一个潜在的基本构件。研究了一类具有跳跃和可能的超线性增长系数的FBSDE的适定性，以及它在一类具有一般保险模型的最优投资/再保险问题中的应用。PI还建议继续他对随机控制和随机金融/保险问题的研究。两个特殊的问题：一个是“万能可变寿险”的动态定价问题，另一个是由正态(或满足结构方程的鞅)驱动的系统的定价问题，将引起人们的强烈关注。后者也被认为是所提出的最优再保险问题的理论扩展，几乎所有的所提出的项目都有很强的应用背景，特别是在随机控制和随机金融/保险方面。其中许多问题反映了保险产品和养老金计划风险证券化的新趋势，预计结果将对精算数学、金融数学产生更广泛的影响，并可能使保险界受益于良好的合同设计。提出的关于FBSDE弱解的项目，特别是FBMP的新概念，将填补这一理论的空白，该理论到目前为止一直处于开放状态。提出的关于完全非线性SPDEs的随机特性的项目将为随机粘性解的概念带来新的见解，并有望极大地推动一般理论的发展。

The principal investigator proposes to study several long-standing problems involving forward-backward stochastic differential equations (FBSDEs) and stochastic partial differential equations (SPDEs), as well as their applications in stochastic control and stochastic finance/insurance theory. The main contributions of the research include a new notion of forward-backward martingale problem (FBMP), along with a general framework for studying the well-posedness of the weak solutions of FBSDEs; and a study of stochastic characteristics for fully nonlinear SPDEs, a potential fundamental building block of the theory of stochastic viscosity solutions. The well-posedness of a class of FBSDEs with jumps and possibly super-linear growth coefficients, as well as its application to a class of optimal investment/reinsurance problems with general insurance models will also be investigated. The PI also proposes to continue his research on stochastic control and stochastic finance/insurance problems. Two particular problems: one involving the dynamic pricing of the "Universal Variable Life" insurance, and the other involving systems driven by normal martingales (or martingales satisfying structure equations) will receive strong attention. The latter is also considered as a theoretical extension of the proposed optimal reinsurance problem.Almost all the proposed projects have strong background in applications, especially in stochastic control and stochastic finance/insurance. Many of these problems reflect the new trend of securitisation of risks in insurance products and pension plans, and the results are expected to have broader impact on actuarial mathematics, financial mathematics, and could benefit the insurance community for good contract designs. The proposed project on the weak solutions for FBSDEs, especially the new notion of FBMP, will fill the gap in the theory, which has been left open so far. The proposed project on stochastic characteristics of fully nonlinear SPDEs will bring new insight to the notion of stochastic viscosity solutions, and is expected to substantially advance the general theory.