|Date: Tuesday, April 15, 2014
Title: Backward Stochastic Differential Equation, Nonlinear PDE related to Risk Measuring
Abstract: In this talk we present some recent progresses of fully nonlinear backward stochastic differential equations (BSDE) and the corresponding fully nonlinear partial differential equations. The related stochastic calculus is within a framework of nonlinear expectation under which the PDE can be a new type of path dependent PDE, instead of the classical state dependent one. We also discuss how the results can be applied to measuring financial risks.
Speaker: Shige Peng
Institution: Shandong University