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Reflected BSDE with Constraint and Its Application
Mon, Jan 11, 2010
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Monday, January 11, 2010, 2:30 PM, KAP 414Speaker: Minyu Xu, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Title: "Reflected BSDE with Constraint and Its Application"Abstract: Non-linear backward stochastic differential equations (BSDEs in short) were firstly introduced by Pardoux and Peng (\cite{PP1990}, 1990), who proved the existence and uniqueness of the adapted solution, under smooth square integrability assumptions on the coefficient and the terminal condition, and when the coefficient $g(t,\omega ,y,z)$ is Lipschitz in $(y,z)$ uniformly in $(t,\omega )$. From then on, the theory of backward stochastic differential equations (BSDE) has been widely and rapidly developed. And many problems in mathematical finance can be treated as BSDEs. The natural connection between BSDE and partial differential equations (PDE) of parabolic and elliptic types is also important applications. In this talk, we study a new developement of reflected BSDE with constraints. The existence and uniqueness results are presented and we will give some application of this kind of BSDE at last.
Location: Kaprielian Hall (KAP) - 414
Audiences: Everyone Is Invited
Contact: Georgia Lum
