标题：Near-Optimality in Two-Time-Scale Stochastic Optimal Control Systems with Infinite Integral-type Delays

报告时间：2025年11月13日（星期四）13:30-14:30

报告地点：线上腾讯会议（会议ID：257423694）

主讲人：吴付科

主办单位：数学与统计学院

报告内容简介：

This paper focuses on near-optimal controls for a class of fully-coupled, two-time-scale stochastic functional differential equations (SFDEs). The coefficients of the system involve infinite integral-type delays in both the slow and fast components, which induces a loss of the Markov property. To overcome this challenge, the original system is first transformed into a higher-dimensional system without delay via state augmentation. The core of the analysis is an averaging principle. To ensure its successful application, the ergodicity of the resulting high-dimensional fixed-X equation and its continuous dependence on parameters are established. A key result is the convergence of the value function of the original system to that of a simplified, limiting system, whose coefficients are averages with respect to the invariant measure of the fixed-X equation. Finally, a two-time-scale optimal control problem for an advertising model is presented as an illustrative example.

主讲人简介：

       吴付科，华中科技大学数学与统计学院教授，博士生导师，国家级高层次青年人才，入选教育部新世纪优秀人才支持计划。主持国家自然科学基金委重点项目、面上项目、教育部新世纪优秀人才基金、英国皇家学会“高级牛顿学者”基金和美国数学学会（AMS）访问基金等。主要从事随机微分方程以及相关领域的研究。近年来，在SIAM系列杂志, JDE,SPA等期刊发表论文100余篇。出版一部专著《随机微分方程》和1部译著《随机微分方程：导论与应用》，当前为《IET Control Theory & Applications》编委。