Start Date: | 3/12/2014 | Start Time: | 3:00 PM |
End Date: | 3/12/2014 | End Time: | 4:00 PM |
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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. |
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Location: Korman Center, Room 245, 15 South 33rd Street, Philadelphia, PA 19104 |
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