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12月9日 胡明尚：BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
- 来源：
- 学校官网
- 收录时间：
- 2024-12-08 10:16:11
- 时间：
- 2024-12-09 13:30:00
- 地点：
- 普陀校区理科大楼A1514
- 报告人：
- 胡明尚
- 学校：
- -/-
- 关键词：
- BSDE, G-Brownian motion, degenerate case, fully nonlinear PDE, regularity, probabilistic method, G-expectation, weak convergence
- 简介：
- We obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE. This is a joint work with Shaolin Ji and Xiaojuan Li.
- -/- 193
报告介绍：
We obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE. This is a joint work with Shaolin Ji and Xiaojuan Li.
报告人介绍：
胡明尚，山东大学中泰证券金融研究院教授，博士生导师。主要研究方向为非线性期望、倒向随机微分方程、随机控制、金融数学等。在Transactions of the American Mathematical Society, SIAM Journal on Control and Optimization, Stochastic Processes and their Applications, Journal of Differential Equations等杂志发表论文30余篇。近年来，主持国家自然科学基金数学天元基金重点专项1项，主持完成国家自然科学基金面上项目1项。
