On Backward Stochastic Differential Equations
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Thu, 14/05/2009 13:00 |
Zhongmin Qian (Oxford) |
Mathematical Finance Internal Seminar  |
DH 1st floor SR |
| This talk will be based on a joint work with Professor Terry Lyons and Mr Gechun Liang (OMI). I will explain a new approach to define and to solve a class of backward dynamic systems including the well known examples of non-linear backward SDE. The new approach does not require any kind of martingale representation or any specific restriction on the probability base in question, and therefore can be applied to a much wider class of backward systems. | |||