1-4 September 2015
Angers - France
Europe/Paris timezone

Degenerate Backward SPDE with Singular Terminal Value and Related Applications in Mathematical Finance

4 Sep 2015, 16:30
30m
Angers - France

Angers - France

Speaker

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.

Primary authors

Dr Jinniao Qiu (Humboldt University of Berlin) Dr Qi Zhang (Fudan University) Prof. Ulrich Horst (Humboldt University of Berlin)

Presentation Materials