报告题目：Power Penalty Method for Solving a Discrete HJB Complementarity Problem

报告人：张凯（广东财经大学）

报告时间：2025年11月13日周四下午14:30

报告地点：广东工业大学龙洞校区行政楼610

报告摘要：We develop a power penalty-based method for numerically solving a Hamilton-Jacobi-Bellman (HJB) complementarity problem (CP) in RN arising in optimal control as well as financial engineering. By penalizing one of the complementarity constrains, the HJB CP is transformed into a nonlinear equation. We show that the solution to this nonlinear system converges to that of the HJB CP exponentially when the appropriate coefficient matrix is an M-matrix. A modified Newton-type iterative method is proposed to solve the resulting nonlinear system. Numerical examples are presented to confirm the theoretical findings.

个人简介：张凯，广东财经大学副校长，博士生导师，香港理工大学兼职博导。2006年于香港理工大学获金融工程博士学位。曾担任深圳大学微众银行金融科技学院院长、深圳南特商学院中方院长。先后入选深圳市鹏城学者金融学特聘教授，广东省“千百十工程省级培养对象”。主要从事金融经济学、金融衍生品、金融科技等的理论及实务研究，在Automatica、Journal of Scientific Computing、Journal of Global Optimization等杂志上发表论文五十余篇。先后主持并参与了多项国家级、省部级和地市级科研项目。