Seminar series
Date
Mon, 15 Oct 2012
Time
15:45 -
16:45
Location
Oxford-Man Institute
Speaker
Mingyu Xu
Organisation
Chinese Academy of Science Beijing
Abstract: By using the Skorohod equation we derive an
iteration procedure which allows us to solve a class of reflected backward
stochastic differential equations with non-linear resistance induced by the
reflected local time. In particular, we present a new method to study the
reflected BSDE proposed first by El Karoui et al. (1997).