401-4910-69L  Topics in Mathematical Finance and Stochastic Analysis

SemesterHerbstsemester 2019
DozierendeC. Czichowsky
Periodizitäteinmalige Veranstaltung
KommentarNumber of participants limited to 24.

KurzbeschreibungBackward 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.
LernzielThe 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 / BesonderesFamiliarity 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.