| 主题： |
A class of globally solvable Markovian quadratic BSDE systems and applications |
| 类型： |
学术报告
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| 主办方： |
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| 报告人： |
邢 浩 (伦敦经济学院) |
| 日期： |
2017年3月27日 下午15:30 |
| 地点： |
知新楼B1238室 |
| 内容： |
报告题目：A class of globally solvable Markovian quadratic BSDE systems and applications
报 告 人：邢 浩 (伦敦经济学院)
报告时间：2017年3月27日 下午15:30
报告地点：知新楼B1238室
报告摘要: We establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the generator, an a-priori local-boundedness property, and a locally-H\"older-continuous terminal condition. We present easily verifiable sufficient conditions for these assumptions and treat several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games, and martingales on Riemannian manifolds.
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