Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, April 04, 2018
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  New developments in second order backward SDEs

Abstract:   Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations in the Markov setting. This paper extends such a nonlinear representation to the context where the random variable of interest is measurable with respect to the information at a finite stopping time. We provide a complete wellposedness theory which covers the semilinear case (backward SDE), the semilinear case with obstacle (reflected backward SDE), and the fully nonlinear case (second order backward SDE).

Sponsored by the Van Eenam Lecture Series

Files: 4973_U-Michigan04042018-Lect2.pdf

Speaker:  Nizar Touzi
Institution:  Ecole Polytechnique

Event Organizer:   Erhan Bayraktar


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