Abstract:

Do you regret your decisions made in the past? If your answer is “yes”, you are a normal person. If your answer is “no”, you are a very “rational” person. You may also ask yourself: Will you regret about the decision you make today?

If an optimal decision made today will stay optimal in the future, the problem under consideration is said to be time-consistent. Otherwise, the problem is said to be time-inconsistent. In reality, most (if not all) problems are time-inconsistent. There are two main reasons leading to the time-inconsistency: people’s subjective time-preferences and risk-preferences. In this talk, we will explain these in mathematical terms, and will present some results of time-consistent solutions to some interesting cases.

Bio:

Jiongmin Yong is a professor of mathematics at University of Central Florida. He obtain his BS degree in 1982 at Fudan University, and his PhD degree in 1986 at Purdue University, under supervision of L. D. Berkovitz. Professor Yong’s research interests include control theory, stochastic differential/integral equations, and mathematical finance.  He was teaching in Fudan University during 1988—2003, promoted to a full professor in 1991, and became a Cheung Kong Professor in 2000. He was the chair of Department of Mathematics at Fudan University during 2000—2003. Since 2003, he has been a professor at University of Central Florida.  Professor Yong was/is an associate editor of several journals, including SIAM Journal on Control and Optimization, ESAIM: Control, Optimization and Calculus of Variations, and Mathematical Control and Related Topics. He won a number of honors, including Su Buqing Mathematical Prize, SAIG/SCT Best SICON Paper Prize, and was invited to deliver a 45-minute talk at 2014 ICM.