Arxiv
| Presentation Name： | Stability and Markov Properties of Forward Backward Minimal Supersolutions of BSDEs |
|---|---|
| Presenter： | Prof. Samuel Drapeau |
| Date👩🏻🦽： | 2015-05-26 |
| Location： | 光华东主楼2001 |
| Abstract🐄： | Minimal Supersolutions of BSDEs are an extension of BSDE. Unlike classical BSDEs, existence and uniqueness are obtained using Martingale compactness arguments and convex analysis. This allows to remove the classical Lipschitz or Quadratic assumptions by considering convex drivers that my take infinite values (constraint problems). After presenting the general idea behind the existence and uniqueness, as well as some duality results we will present some recent results about the stability to perturbations inthe case of Forward-Backward system. This allows to address the Markov setting and derive a Feynman-Kack formula for Minimal Supersolutions. We finally discuss the link with viscosity supersolutions and PDEs and the financial aspects of Minimal supersolutions. |
| Annual Speech Directory🫴🏼： | No.70 |
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