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Finance and Stochastics Seminar – Mao Fabrice Djete
Tuesday, November 17, 2026 · 14:00140, Huxley Building, South Kensington CampusFree
Open on imperialCollegeA free academic seminar on BSDEs for measure-dependent control problems with speaker Mao Fabrice Djete.
About
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…
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