At 19:00 on October 5th, the 2021 "Famous Teachers' Lecture Hall" series of lectures co-sponsored by the School of Mathematical Sciences of Jiangsu University and the Institute of Applied System Analysis was held on the cloud as scheduled. The guest speaker invited in this issue is Professor Zhen Wu, Vice President of Shandong University, a top expert in the field of probability theory and financial mathematics in China. More than 100 teachers and students from Jiangsu University, including Professor Zhitao Zhang, Professor Jun Wang, Associate Professor Maochun Zhu, and Dr. Chaojie Wang attended this lecture.

Before the lecture, Dean Zhitao Zhang gave a brief introduction to Professor Zhen Wu and presided over the lecture.

Professor Zhen Wu gave a wonderful academic report on "Pairs-Trading under Geometric Brownian Motions: An Optimal Strategy with Cutting Losses", which mainly introduced the optimal pair trading strategy problem in the stock model. First, he explained the research motivation of the pair trading problem and related mathematical models. Later, he introduced how to use dynamic programming to study the optimal investment strategy problem, that is, to transform such problems into HJB differential equation solving problems under certain smooth conditions. Finally, Professor Wu introduced some specific applications and empirical tests of the research results in the trading market.

Professor Wu's report is both theoretical and practical. It deeply analyzes the close relationship between financial mathematical theory and actual stock investment trading strategies, which arouses great interest from teachers and students present.

After the report, Professor Wu gave patient and detailed answers to the questions that everyone was concerned about. Dean Zhitao Zhang made a concluding speech for this lecture.