Forward-Backward SDEs with Distributional Coefficients

发布时间:2016-9-7 11:06:27 浏览次数:429   

  目:Forward-Backward SDEs with Distributional Coefficients

报告人:井帅,中央财经大学管理科学系副教授

  间:2016914日上午10:00-11:00

  点:金融工程研究中心105学术报告厅

摘要:In this talk we consider a class of multidimensional forward-backward stochastic differential equations (FBSDEs) with distributional coefficients. In particular some of the coefficients are elements of a Sobolev space with negative derivation order. We introduce the notion of virtual solution for the FBSDE and show its existence, and in certain cases its uniqueness. Moreover we establish a non-linear Feynman-Kac representation formula for the FBSDE and the associated semi-linear second order parabolic PDE. The latter equation involves distributional coefficients of the same kind, and it is analysed using mild solutions and semigroup theory. This is a joint work with E. Issoglio.

 

报告人简介:井帅 中央财经大学管理科学系副教授,获山东大学运筹学与控制论博士学位,法国西布列塔尼大学(Université de Bretagne Occidentale) 数学博士学位,师从山东大学彭实戈院士,法国国家一级教授 Rainer Buckdahn 教授。

 

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