Abstract

The aim of this talk is to discuss well-posedness for scalar valued Backward Stochastic Differential Equations (BSDEs) when the generator has a sublinear growth, linear growth, subquadratic growth, quadratic growth and superquadratic growth in the second variable. In each of these five cases, we give some precise conditions for terminal random variables to guarantee the existence and uniqueness of the solution. On the other hand, we give a few results on multi-dimensional BSDEs with quadratic growth whose solvability remains largely open.

报告人简介

胡瑛，法国特级教授，国际著名随机分析和随机控制专家，研究领域主要涉及随机过程、偏微分方程、随机控制和金融数学，特别是在倒向随机微分方程领域做出了卓越贡献。胡老师发表Probab. Theory Related Fields、Ann. Appl. Probab.、J. Funct. Anal.、SIAM J. Control Optim.等期刊论文八十余篇，总引用次数近2000次。