SMS scnews item created by Anna Aksamit at Tue 16 Jun 2020 1806
Type: Seminar
Distribution: World
Expiry: 30 Jun 2020
Calendar1: 23 Jun 2020 1400-1500
CalLoc1: zoom talk
Auth: (aaks9559) in SMS-WASM

Stochastics and Finance: Ben Goldys -- G-expectation via Nisio semigroup, Part 1

Dear All, 

You are kindly invited to attend the next Stochastic and Finance seminar.  On Tuesday
June 23 at 2pm (Sydney time) Ben Goldys (U Sydney) will give a talk via Zoom.  Zoom
link: Meeting ID: 781 271 7331 

Speaker: Ben Goldys (U Sydney) 

Title: G-expectation via Nisio semigroup -- Part 1

Abstract: The concept of G-expectation introduced by Peng takes as its starting point a
non-trivial result from the theory of fully nonlinear partial differential equations.  I
will present another approach to G-expectation based on an old idea of M.  Nisio, who
introduced a non-linear semigroup corresponding to an optimal control problem.  However,
the Nisio approach had some some serious limitations.  I will present an improvement of
her theory, that will allow us to recover some basic properties of G-expectation.  The
existence of a unique viscosity solution to the corresponding fully nonlinear partial
differential equation will follow naturally, in the same way as for the Kolmogorov
equations associated to Markov processes.  The talk is based on a recent paper by Max
Nendel and Michael Roeckner (2019) and on our joint work in preparation. 

Please feel free to forward this message to anyone who might be interested in this

Kind regards, 


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