FBSDEs with discontinuous coefficients

Tuesday, April 09, 2019 at 11:50am - 12:55pm

Ludovic Tangpi - Princeton University

Abstract: In this talk we consider well-posedness of systems of forward and backward stochastic differential equations when (at least some of) the coefficients are merely assumed to be measurable. Since such systems cannot be tackled with classical fixed point theory, we device new methods based on "domination arguments" and Malliavin calculus techniques.
Location   Hill 705