Seminars & Colloquia Calendar
FBSDEs with discontinuous coefficients
Ludovic Tangpi - Princeton University
Location: Hill 705
Date & time: Tuesday, 12 February 2019 at 11:50AM - 12:55PM
Abstract: In this talk we consider well-posedness of systems of forward and backward stochastic differential equations when (at least some of) the coefficients are merely assumed to be measurable. Since such systems cannot be tackled with classical fixed point theory, we device new methods based on "domination arguments" and Malliavin calculus techniques.
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Stephen D. Miller
Brooke Ogrodnik, Website
Organizers: Yanyan Li, Z.C. Han, Jian Song, Natasa Sesum
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