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Probability and Computational Finance Seminar
Daniel Schwarz
Carnegie Mellon University
Title: FBSDEs --- A Short Review and Applications in Financial Mathematics

Abstract: Forward-backward stochastic differential equations (FBSDEs) have recently gained a lot of traction in financial mathematics. In this talk, we discuss a framework recently proposed by Ma, Wu, Zhang and Zhang to prove the existence and uniqueness of a solution to a large class of FBSDEs. We present an extension of their result to accommodate the case of a discontinuous terminal condition, which occurs naturally, for example, in the modelling of carbon emission trading systems and, using formal asymptotic arguments, we draw a connection to scalar valued conservation law partial differential equations.

Date: Monday, April 22, 2013
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Dmitry Kramkov