Second Young researchers meeting on BSDEs, Numerics and Finance

Presentations slides

0. Chassagneux J.F. - Numerical Stability of the Euler Scheme for BSDEs

18. Chaudru de Raynal P.E. - A cubature based algorithm to solve forward and forward-backward stochastic differential equation of McKean-Vlasov type

22. Cohen S. - Markov Chain BSDEs and risk averse networks

1. Cosso A. - BSDE Representation for Stochastic Control Problems with Controlled Intensity

27. Dos Reis G. - Securitization and equilibrium pricing under relative performance concerns

12. Du K. - On solvability conditions of stochastic Riccati equations

24. Fedyashov V. - Ergodic BSDEs with Levy noise and time dependence

6. Garcia Trillos C.A. - Numerical simulation of multi-scale SDEs

2. Hitaj A. - Are Smart Beta indexes valid for hedge fund portfolio allocation?

23. Kruse T. - BSDEs with singular terminal condition and applications to optimal trade execution

7. Labart C. - Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

10. Liang G. - Optimal Switching at Poisson Random Intervention Times

26. Lin Y. - Localization method for non-Lipschitz Stochastic Differential Equations Driven by G-Brownian Motion (GSDEs)

3. Lionnet A. - Numerical approximation of monotone BSDEs

19. Madec P.Y. - Probabilistic Approach to Large Time Behaviour of Mild Solutions of HJB Equations in Innite Dimension by a Probabilistic Approach

8. Mainberger C. - Supersolutions of BSDEs: Minimality, Constraints, Duality

9. Mastrogiacomo E. - Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

11. Mihaylov I. - An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs

14. Moreau L. - Regularity of Constrained BSDEs

20. Mu R. - Bang-Bang Type Nash Equilibrium Point for Nonzero-sum Stochastic Dierential Game

13. Nam K. - BSEs, BSDEs, and fixed points

17. Ragulina O. - Optimal Control by Franchise and Deductible Amounts in the Classical Risk Model

21. Romo Romero R. - Indierence fee rate for variable annuities

4. Soumana Hima A. - Quadratic Backward Stochastic Di¤erential Equations Driven by G-Brownian Motion

5. Steinicke A. - Malliavin dierentiation of random functions with applications to Levy driven BSDEs

15. Szpruch L. - Tamed Euler schemes for FBSDEs

25. Tan X. - Martingale Transport, Skorokhod Embedding and Peacocks

16. Tangpi L. - Robust Duality without Refence Measure