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学术科研

Financial Math Seminar

Path-dependent Partial Differential Equations

演讲者：Christian Keller（中佛罗里达大学）
时间：2019-12-30 16:00-17:00
地点：慧园3栋 415报告厅

Abstract: Path-dependent PDEs are PDEs defined on path spaces consisting of continuous or cadlag functions. Those PDEs appear naturally in non-Markovian problems in optimal control, probability, and mathematical finance, for example, optimal control of delay equations or pricing of path-dependent options. In this talk, I will give an overview of the theory of viscosity solutions of path-dependent PDEs of first and second order and I will address recent developments as well as some open problems.