SMS scnews item created by Eduardo Altmann at Mon 3 Apr 2017 0916
Type: Seminar
Distribution: World
Expiry: 10 Apr 2017
Calendar1: 5 Apr 2017 1400-1510
CalLoc1: AGR Carslaw 829
CalTitle1: Backward Stochastic Differential Equations Driven by G-Brownian Motion in Finance
Auth: ega@como.maths.usyd.edu.au

Applied Maths Seminar

Backward Stochastic Differential Equations Driven by G-Brownian Motion in Finance

Peng

Professor Shige Peng (Shandong University, Jinan, China)
Title: Backward Stochastic Differential Equations Driven by G-Brownian Motion in Finance
Abstract: We present some recent developments in the theory of Backward Stochastic Differential Equations (BSDEs) driven by a new type of a Brownian motion under a nonlinear expectation space and we discuss applications of this new class of BSDEs to financial models in which the uncertainty of volatility is taken into account.

Webpage of the Applied Maths Seminars: http://www.maths.usyd.edu.au/u/SemConf/Applied.html .


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