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Event Details

A class of globally solvable systems of BSDE

  • Event Date: October 13, 2015
  • Event End Date: October 13, 2015
  • Event Start Time: 11:45 AM
  • Event End Time: 12:45 PM
  • Event Location: Hill 705
  • Event Type: Mathematical Finance and Probability Seminars
Speaker: Gordan Zitkovic, UT Austin
Location: Hill 705
Slides: ( TBA )

ABSTRACT
We give sufficient conditions on the driver and the terminal condition of a system of BSDE (Backward Stochastic Differential Equations) so that it admits a global (in time) solution. These conditions are particularly relevant for systems arising from non-zero-sum stochastic differential games, but can also be used to establish existence of a class of stochastic equilibria in incomplete financial markets. Joint work with Hao Xing (LSE).