Mild solutions to path-dependent PDEs


The recent functional extension of the widely applied Itô formula by Dupire, Cont, and Fournié led to the new exciting class of path-dependent partial differential equations (PPDEs). In relevant publications, the most... [ view full abstract ]


  1. Alexander Kalinin (Imperial College London)
  2. Alexander Schied (University of Waterloo)

Topic Areas

Options , Partial Differential Equations , Stochastic Analysis


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

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