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Backward Stochastic Differential Equations beyond Lipschitz Data

26. September 2019 um 10:30 - 11:30

Veranstaltungskategorie Vortrag |Foto: kasto/Fotolia.com

Veranstaltungsort
N.0.07

Veranstalter
Institut für Statistik


Beschreibung

The talk starts with a basic introduction to backward stochastic differential equations (BSDEs), then presents various applications of these equations in PDE theory, control theory, stochastics on manifolds and mathematical finance. Directly following will be an overview of the BSDEs‘ mathematical treatment with special focus on the very relevant case where the equations‘ data is irregular: data that satisfy a Lipschitz assumption lead to a well-behaved theory and many results are available. In many applications however, instead of Lipschitz conditions, only a quadratic growth or a mere local Lipschitz condition is available, rising questions that lack a big unifying theory so far

Vortragende(r)
Dipl.-Ing. Alexander Steinicke, PhD (Montanuniversität Leoben)

Kontakt
Simone Gahleitner (simone [dot] gahleitner [at] aau [dot] at)

Details

Termine:
26. September 2019 um 10:30 - 11:30 Uhr
Veranstaltungskategorie:
zum Veranstaltungskalender