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学术科研

Probability & Statistics Seminar

A type of globally solvable BSDEs with triangularly quadratic generators

演讲者：罗鹏（上海交通大学）
时间：2022-06-06 16:00-17:00
地点：腾讯会议 ID 225981826

Abstract

The present paper is devoted to the study of the well-posedness of a type of BSDEs with triangularly quadratic generators. This work is motivated by the recent results obtained by Hu and Tang [SPA, 2016] and Xing and Zitkovic [AP, 2018]. By the contraction mapping argument, we first prove that this type of triangularly quadratic BSDEs admits a unique local solution on a small time interval whenever the terminal value is bounded. Under additional assumptions, we build the global solution on the whole time interval by stitching local solutions. Finally, we give solvability results when the generators have path dependence in value process.

报告人简介：罗鹏，上海交通大学副教授。德国康斯坦茨大学和山东大学双博士学位，瑞士苏黎世联邦理工学院和加拿大滑铁卢大学博士后。罗老师的主要研究领域为随机分析与金融数学，近些年从事 Quadratic BSDE及其应用的研究，成果显著，20 余篇论文发表于Stochastic Process. Appl.、 J. Theoret. Probab.、Electron. J. Probab、Discrete Contin. Dyn. Syst. 和SIAM J. Financial Math. 等国际高水平杂志，此外主持多项国家级和省部级项目。