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Probability and Computational Finance Seminar
Kihun Nam Princeton Title: BSEs, BSDEs, and fixed points. Abstract: In this presentation, we will generalize BSDEs into Backward Stochastic Equations (BSEs):Y_t+F_t(Y,M)+M_t=\xi+F_T(Y,M)+M_TThen, we will show that there is a one-to-one correspondence between the solutions of the above BSE and the fixed points of the mappings determined by \xi and F. Using Banach fixed point theorem and Krasnoselskii fixed point theorem, we will show the existence and the uniqueness of solution for BSEs and BSDEs. In particular, novel existence results will be provided for (solution) path-dependent BSDEs and multidimensional quadratic mean-field BSDEs. This is a joint work with Patrick Cheridito. Date: Monday, February 17, 2014Time: 5:00 pmLocation: Wean Hall 5415Submitted by: Kasper LarsenNote: PLEASE NOTE CHANGE OF ROOM. |