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Mathematics Colloquium


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


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