Second-order backward SDE with random terminal time and applications


In this talk, we shall introduce our recent progress on the second-order BSDEs with random terminal time. In particular, we study a control problem on the solutions of BSDEs with random terminal time and prove the existence... [ view full abstract ]


  1. YIQING LIN (Shanghai Jiao Tong University)
  2. Zhenjie Ren (University of Paris-Dauphine)
  3. Nizar Touzi (Ecole Polytechnique-CMAP)
  4. Junjian Yang (TU Wien)

Topic Areas

Backward Stochastic Differential Equations , Contract Theory , Stochastic Analysis


MO-A-SW » BSDE and PDE Methods (11:30 - Monday, 16th July, Swift)

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