报告题目:QUADRATIC BSDES WITH MEAN REFLECTION
报告人:YiqingLIN
邀请人:张良泉
报告时间:2018年6月20日(星期三)下午16:00-17:00
报告地点:主楼1214
Abstract:
Thepresent paper is devoted to the study of the well-posedness of BSDEs with meanreflection whenever the generator has quadratic growth in the z argument. Thiswork is the sequel of [Briand-Hu, AAP, 2018] in which a notion of BSDEs withmean reflection is developed to tackle the super-hedging problem under runningrisk management constraints. By the contraction mapping argument, we firstprove that the quadratic BSDE with mean reflection admits a uniquedeterministic flat local solution on a small time interval whenever theterminal value is bounded. Moreover, we build the global solution on the wholetime interval by stitching local solutions when the generator is uniformlybounded with respect to the y argument.
报告人简介:
林一青博士毕业于法国雷恩一大,现为上海交通大学数学科学学院特别研究员,曾在山东大学硕博连读,在维也纳大学(University of Vienna)、法国巴黎综合理工学院(École Polytechnique)从事博士后研究。他的主要研究方向为非线性随机分析与金融数学。他在这个方向上获得了一些很有意义的结果,发表于SIAM Journal on optimization,Stochastic Processes and their Applications等杂志上。
P.S.巴黎综合理工大学(École Polytechnique)在法国隶属于法国国防部,是法国最顶尖且最富盛名的工程师大学。国际知名数学家:柯西(Augustin Louis Cauchy)、泊松(Simeon-Denis Poisson)、庞加莱(Jules Henri Poincaré)等毕业该大学。