金融工程研究中心学术报告:Characterization of the monopolist's profit-maximization problem as a free-boundary problem

报 告 人: 张霜剑(复旦大学)

报告时间: 91818:30 – 19:30

报告地点:#腾讯会议:362-683-9628

报告摘要:The principal-agent problem is one of the central problems in microeconomics with many applications. Existence, uniqueness, convexity/concavity, regularity, and characterization of the solutions have been widely studied after Mirrlees and Spence in the 1970s. For multidimensional spaces of agents and products, Rochet and Choné (Econometrica, 1998) reformulated this problem to a concave maximization over the set of convex functions, by assuming agent preferences combine bilinearity in the product and agent parameters with a quasilinear sensitivity to prices. We characterize solutions to this problem by identifying a dual minimization problem. This duality allows us to reduce the solution of the square example of Rochet-Choné to a novel free boundary problem, giving the first analytical description of an overlooked market segment, where the regularity built by Caffarelli-Lions plays a crucial role —— an extension of their regularity work to the quasilinear case is also recently studied. The results profoundly connect with the Optimal Transport theory, a powerful tool with potential applications in many areas. This talk contains my joint work with Robert J. McCann and Cale Rankin.

报告人简介:张霜剑,复旦大学数学科学学院青年研究员,博士生导师。2023年入选国家高层次青年人才。2012年本科毕业于南开大学陈省身班;2018年博士毕业于多伦多大学数学系;博士毕业后曾在巴黎高科国立统计与经济管理学院、巴黎高等师范学院、滑铁卢大学从事博士后研究。20239月至今任职于复旦大学数学科学学院,主要研究为最优输运理论在经济金融中的应用,其研究成果发表在Communications on Pure and Applied MathematicsMathematical Models and Methods in Applied SciencesEconomic TheoryJournal of Mathematical EconomicsConference on Learning Theory等。

 

 

(开云手机登录入口金融工程研究中心)
苏大概况 教育教学
院部设置 科学研究
组织机构 合作交流
招生就业 公共服务
版权所有©开云手机登录入口

地址:江苏省苏州市姑苏区十梓街1号

苏ICP备10229414号-1
苏公网安备 32050802010530号
推荐使用IE8.0以上浏览器,1440*900以上分辨率访问本网站