Backward stochastic differential equations (BSDEs) are an important tool of stochastic analysis. They appear naturally in applications of stochastic calculus in stochastic optimal control and mathematical finance. The seminar introduces students to the theory of BSDEs (rather than their applications) and covers different aspects of them.
Lernziel
The goal is to learn mathematical results in the theory of BSDEs. We will study chapters of the book “Backward Stochastic Differential Equations” by Jianfeng Zhang.
Literatur
"Backward Stochastic Differential Equations" by Jiangfeng Zhang.
Voraussetzungen / Besonderes
Familiarity with measure-theoretic probability and stochastic calculus as in the standard D-MATH courses "Probability Theory" and "Brownian Motion and Stochastic Calculus" will be assumed. Textbook accounts can be found in the first two chapters of the book and the references therein.
Participants are expected to attend the seminar and give a presentation.
Topics will be assigned in the first meeting.
Leistungskontrolle
Information zur Leistungskontrolle (gültig bis die Lerneinheit neu gelesen wird)
Leistungskontrolle als Semesterkurs