Probability Seminar

Date: November 16, 2018

Time: 11:30AM - 12:30PM

Location: BLOC 220

Speaker: Gordan Zitkovic, UT Austin

Title: On a class of globally solvable quadratic systems of backward stochastic differential equations and applications

Abstract: Backward stochastic differential equations (BSDE) emerged as a unifying language of many seemingly separate applications of stochastic analysis. While the scalar case has been well understood for almost two decades, systems are still far out of reach, even though their applications are by no means in short supply. After a short introduction to BSDEs aimed at a generic probabilist and a survey of classical results, some recent progress on fully coupled systems with quadratic nonlinearities will be described. Several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games, and martingales on Riemannian manifolds will also be discussed. Joint work with Hao Xing.