Girsanov's theorem, martingale representation and BSDE
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Thu, 29/04/2010 13:00 |
Zhongmin Qian (Oxford) |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
| This talk I present a study of BSDEs with non-linear terms of quadratic growth by using Girsanov's theorem. In particular we are able to establish a non-linear version of the Cameron-Martin formula, which can be for example used to obtain gradient estimates for some non-linear parabolic equations. | |||