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                                                     Seminar

             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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Title	:	Functional Differential Equation Approach to BSDEs and Related Optimal Portfolio Problems
Speaker	:	Dr. Gechun Liang
		University of Oxford
Date	:	Sep. 21th, 2011 (Wednesday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

 In this talk, we introduce a new approach to solve backward stochastic differential equations (BSDEs). We show BSDEs can be reformulated as ODEs defined on path space, so called functional differential equations. By this formulation, we can solve BSDEs
defined on general filtered probability space, and in particular without the requirement of Brownian filtration and martingale representation. In the second part of this talk, we utilize such functional differential equation approach to solve a class of forward backward stochastic differential equations (FBSDEs), which is then applied to optimal portfolio problems based on a nonlinear version of Girsanov's transformation. The talks are based on joint works with Terry Lyons and Zhongmin Qian.

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Biography:
　

Gechun Liang is a Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance, University of Oxford, starting from 2010. Before that he read for DPhil Mathematics in the stochastic analysis group at the Mathematical Institute, University of Oxford.
His research interests are mainly focused on mathematical finance and applied probability. He is especially interested in backward stochastic differential equations (BSDEs), rough path theory, and financial risk modeling and management.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Nan Chen
Tel	:	(852) 2609-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

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