An introduction to BSDE | Vidéo | Carmin.tv

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An introduction to BSDE

De Peter Imkeller

Apparaît dans les collections : Research School, CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen

Backward stochastic differential equations have been a very successful and active tool for stochastic finance and insurance for some decades. More generally they serve as a central method in applications of control theory in many areas. We introduce BSDE by looking at a simple utility optimization problem in financial stochastics. We shall derive an important class of BSDE by applying the martingale optimality principle to solve an optimal investment problem for a financial agent whose income is partly affected by market external risk. We then present the basics of existence and uniqueness theory for solutions to BSDE the coefficients of which satisfy global Lipschitz conditions.

Informations sur la vidéo

Date de captation 17/07/2017
Date de publication 26/07/2017
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs, Doctorants
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19198303
Citer cette vidéo Imkeller, Peter (17/07/2017). An introduction to BSDE. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19198303
URL https://dx.doi.org/10.24350/CIRM.V.19198303

Domaine(s)

Bibliographie

El Karoui, N., Peng, S., & Quenez, M.C. (1997). Backward stochastic differential equations in finance. Mathematical Finance, 7(1), 1–71 - http://dx.doi.org/10.1111/1467-9965.00022
Hu, Y., Imkeller, P., & Müller, M. (2005). Utility maximization in incomplete markets. The Annals of Applied Probability, 15(3), 1691-1712 - http://dx.doi.org/10.1214/105051605000000188

Codes MSC

Document(s)

http://smai.emath.fr/cemracs/cemracs17/Slides/imkeller.pdf

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