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홈 > 학술정보 >학술행사 > 세미나
KAIST 수리과학과 세미나

Title
[확률론] Fixed Point Method for Backward Stochastic Differential Equations
Speaker
Kihun Nam   (Monash university )
Date
2017-08-31 16:30:00
Host
KAIST
Place
(E2) Room 3221
Abstract
Backward stochastic differential equation (BSDE) is a generalization of martingale representation theorem and it has been widely used for financial derivative pricing and stochastic optimization. Traditionally, most of well-posedness result of BSDE were based on contraction mapping theorem on the space of stochastic processes. In our work, we were able to transform BSDEs into fixed point problems in the space of Lp random variables. The simplicity of our framework enables us to apply various kind of fixed point theorems which have not been tried in previous literature. In particular, this enables to remove infinite dimensionality arise from time and we were able to use white noise analysis to use topological fixed point theorems. As a result, we were able to generalize previous well-posedness results: e.g. time-delayed type, mean-field type, multidimensional super-linear type. The talk is aimed for those who are not familiar with BSDE and it is based on BSE's, BSDE's and fixed point theorem (joint work with Patrick Cheridito)
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