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Location

Korman Center, Room 245, 15 South 33rd Street, Philadelphia, PA 19104

Audience

  • Public

Colloquium: Backward Stochastic Differential Equations and Malliavin Calculus

Wednesday, March 12, 2014

3:00 PM-4:00 PM

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

Pavel Grinfeld
pg77@drexel.edu