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Colloquium: Backward Stochastic Differential Equations and Malliavin Calculus
Start Date: 3/12/2014Start Time: 3:00 PM
End Date: 3/12/2014End Time: 4:00 PM

Event Description
Xiaoming Song, postdoctoral researcher, Ritsumeikan University

 

Abstract: The study of backward stochastic differential equations (BSDEs for short) has a long history. BSDEs appear in numerous problems in finance. In many topics in the applications of BSDEs, some diffusion processes are needed. In this work, we study BSDEs without assuming any forward diffusions. By using the Malliavin calculus, we are able to obtain the $L^p$-H\"{o}lder continuity of the solution.
Contact Information:
Name: Pavel Grinfeld
Email: pg77@drexel.edu
Location:
Korman Center, Room 245, 15 South 33rd Street, Philadelphia, PA 19104
Audience:
  • Public
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