Finance and Stochastics Seminar – Mao Fabrice Djete

Wird ins Deutsche übersetzt…

Speaker: Mao Fabrice Djete Title: A New Notion of BSDE for Measure-Dependent Control Problems and Its Applications Abstract: I will introduce a notion of backward stochastic differential equation (BSDE) for optimization problems with measure dependence. I will begin with two examples that illustrate why a new formulation is needed: a “robust” principal–agent problem and a mean-field optimal stopping problem. I will then develop the BSDE formulation in the Markovian setting before turning to the non-Markovian case. Finally, I will discuss what well-posedness of these equations tells us about t…