学术报告:2018.6.9,9:00-10:00,冯新伟教授, 香港中文大学

发布时间:2018-06-03浏览次数:13

东南大学数学学院邀请专家申请表

  

报告人

冯新伟

单位

香港中文大学

报告题目

Backward Stochastic Differential Equations with rank-based data

报告时间

2018.6.9

上午

900-1000

地点

数学学院第一报告厅

邀请人

郑国强

报告摘要

The general nonlinear Backward Stochastic Differential Equations (BSDEs) were introduced and studied by Pardoux and   Peng in 1990. The interest in BSDEs come from the connections with different mathematical fields, such as mathematical finance, stochastic control and partial differential equations. In this talk, we will introduce a special type of decoupled forward backward stochastic differential equations(FBSDEs), where the forward SDEs is rank-based coefficients and the generator and the terminal value of BSDEs depend on the solutions of rank-based SDEs. I will introduce the regularity properties of the solutions and the connection   with semi-linear backward parabolic partial differential equations in simplex with Neumann boundary condition. Finally I will talk about the European option pricing problem with capital size based stock prices.

报告人简介

冯新伟,香港中文大学博士后,博士毕业于山东大学数学学院,师从陈增敬教授。研究领域主要包括倒向随机微分方程和概率极限理论。