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Backward stochastic differential equations with nonlinear Young driver

Speaker: Jian Song（Shandong University）
Time: Jan 28, 2024, 16:30-17:30
Location: M1001, College of Science Building，Tencent meeting ID:254186029

Abstract

In the talk, I will present our recent result on BSDEs with a nonlinear Young integral. This type of BSDEs is related to stochastic partial differential equations and may also arise in optimal control problems for systems with a singular drift. The talk will be based on a joint work with Huilin Zhang and Kuan Zhang.

报告人简介

宋健，山东大学教授，国家高层次人才，2010年博士于美国堪萨斯大学，先后于美国Rutgers大学New Brunswick分校、香港大学工作，2018年任山东大学教授。宋健教授的研究方向为随机偏微分方程、随机矩阵、分数布朗运动、随机分析及其应用（包括随机控制、信息论、数理金融）、统计物理模型等。相关研究成果发表在Annals of Probability、Probability Theory and Related Fields、Journal of Funtional Analysis等概率论与随机分析高水平期刊上。