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Event Details

On path-dependent PDEs.

  • Event Date: October 20, 2015
  • Event End Date: October 20, 2015
  • Event Start Time: 11:45 AM
  • Event End Time: 12:45 PM
  • Event Location: Hill 705
  • Event Type: Mathematical Finance and Probability Seminars
  • Extra Info: Christian Keller, U Michigan
Speaker: Christian Keller, U Michigan
Location: Hill 705
Slides: ( TBA )

ABSTRACT
PDEs play an important role in mathematical finance and stochastic control if the studied problem is Markovian. In the non-Markovian case,

so-called path-dependent PDEs provide a natural counterpart. In this talk, we motivate the notion of viscosity solutions for path-dependent PDEs, provide an overview over recent developments, and present well-posedness results for a class of path-dependent integro-differential

equations, which are closely connected to backward SDEs with jumps.