SMS scnews item created by Anna Aksamit at Wed 26 Feb 2020 1304
Type: Seminar
Distribution: World
Expiry: 4 Mar 2020
Calendar1: 3 Mar 2020 1400-1500
CalLoc1: AGR Carslaw 829
Auth: aksamit@paksamit.pc (assumed)

Stochastics and Finance: Kihun Nam -- Global Well-posedness of non-Markovian multidimensional superquadratic BSDEs

Speaker: Dr Kihun Nam (Monash University)

Title: Global Well-posedness of non-Markovian multidimensional superquadratic BSDEs

Using a purely probabilistic argument, we prove the global well-posedness of
multidimensional superquadratic backward stochastic differential equations (BSDEs)
without Markovian assumption.  The key technique is the interplay between the local
well-posedness of fully coupled path-dependent forward backward stochastic differential
equations (FBSDEs) and backward iterations of the superquadratic BSDE.  The
stochastic differential game and price impact model.  We also study the well-posedness
of superquadratic FBSDE using the corresponding BSDE results.  Our result also provides
the well-posedness of a system of path-dependent quasilinear partial differential
equations where the nonlinearity has superquadratic growth in the gradient of the
solution.

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html


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