Speaker：Prof. Xinwei Feng， Chinese University of Hong Kong
Time：9:00-10:00, 9, June, 2018
Title：Backward Stochastic Differential Equations with rank-based data
Abstract：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.
