Mathematisches Kolloquium
Am Donnerstag, 30. Oktober 2014, um 16:30 Uhr spricht
Bruno Bouchard
(Universität Paris-Dauphine)
im Hörsaal A027 über das Thema
Regularity of BSDEs with a convex constraint on the gains-process
Zusammenfassung: We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic differential equation. Under boundedness assumptions on the coefficients, we show that the first component of the solution is Lipschitz in space and 1/2-Hölder in time with respect to the initial data of the forward process. Its path is continuous before the time horizon at which its left-limit is given by a face-lifted version of its natural boundary condition. This first component is actually equal to its own face-lift. We only use probabilistic arguments. In particular, our results can be extended to certain non-Markovian settings.
Alle Interessierten sind hiermit herzlich eingeladen. Eine halbe Stunde vor dem Vortrag gibt es Kaffee und Tee im Sozialraum (Raum 448) im 4. Stock.
Treffpunkt zum Abendessen um 18.00 Uhr wird noch bekannt gegeben.