Orateur
Dr
Qi Zhang
(Fudan University)
Description
We study the degenerate backward stochastic partial differential equation with singular terminal value, and prove the existence and uniqueness of its non-negative solution by the comparison theorem and the gradient estimate of solution. This kind of equation has an application in the portfolio liquidation problem. This is a joint work with Ulrich Horst and Jinniao Qiu.
Auteurs principaux
Dr
Jinniao Qiu
(Humboldt University of Berlin)
Dr
Qi Zhang
(Fudan University)
Prof.
Ulrich Horst
(Humboldt University of Berlin)
