Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

To obtain the rate of convergence of numerical solutions for backward stochastic differential equations $dY_t=-f(t, Y_t, Z_t)dt+Z_tdW_t$, $Y_T=xi$, where $f$ and $xi$ are given, one needs to know the Holder continuity of the solution pair $(Y_t, Z_t)$. In this work, expression of $Z_t$ as a Malliavin derivative of $Y_t$ are fully explored to obtain sharp proprties of the solution. These are necessary to the rate of convergence of some numerical schemes.

Speaker: Yaozhong Hu, University of Kansas

Slides: (TBA)