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Seminar

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

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 ¡¡ ¡¡ ¡¡ Title : Reflected  BSDE with a constraint and its application   ¡¡ ¡¡ ¡¡ Speaker : Prof. Mingyu Xu ¡¡ ¡¡ Chinese Academy of Sciences ¡¡ ¡¡ ¡¡ ¡¡ ¡¡ Date : Dec. 22nd, 2010 (Wednesday) ¡¡ ¡¡ ¡¡ Time : 3:30 p.m. - 4:30 p.m. ¡¡ ¡¡ ¡¡ Venue : Room 513 ¡¡ ¡¡ William M.W. Mong Engineering Building ¡¡ ¡¡ (Engineering Building Complex Phase 2) ¡¡ ¡¡ CUHK ¡¡ ¡¡ ¡¡

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Abstract:
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 Non-linear backward stochastic differential equations (BSDEs in short) were firstly introduced by Pardoux and Peng (\cite{PP1990}, 1990), who proved the existence and uniqueness of the adapted solution, under smooth square integrability assumptions on the coefficient and the terminal condition, and when the coefficient $g(t,\omega ,y,z)$ is Lipschitz in $(y,z)$ uniformly in $(t,\omega)$. From then on, the theory of backward stochastic differential equations (BSDE) has been widely and rapidly developed. And many problems in mathematical finance can be treated as BSDEs. The natural connection between BSDE and partial differential equations (PDE) of parabolic and elliptic types is also important applications.   In this talk, we study a new developement of BSDE, BSDE with contraint and reflecting barrier. The existence and uniqueness results are presented and we will give some application of this kind of BSDE at last.

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Biography:
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 Mingyu Xu is associate professor in Institute of Applied Mathematics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing. She got her bachelor in Shandong University in China, and her Ph.D degree in Universite du Maine in France under the direction of Shige Peng and Jean-Pierre Lepeltier. Then she passed 2 years in Fudan university as a post-doc.

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

 ¡¡ ¡¡ ¡¡ Host : Prof. Xunyu Zhou Tel : (852)2609-8320 Email : ¡¡ ¡¡ ¡¡ 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 : ¡¡ ¡¡ ¡¡

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