BSDEs with time-delayed generators and associated path-dependent nonlinear Kolmogorov equations

19 April 2018
19 April 2018
Contatti: 
Staff Dipartimento di Matematica

Università degli Studi Trento
38123 Povo (TN)
Tel +39 04 61/281508-1625-1701-3898-1980.
dept.math [at] unitn.it

Seminario congiunto Dipartimento di Matematica – Centro Internazionale per la Ricerca Matematica (CIRM)

Luogo: Dipartimento di Matematica, via Sommarive, 14 - Povo (TN) - Aula Seminari "-1"
Ore: 10:30

Relatore:

  • Adrian Zalinescu (Universitatea Alexandru Ioan Cuza - Iaşi, Romania)

Abstract:

We study the existence and uniqueness for a path-dependent nonlinear Kolmogorov equation. The result is obtained by a stochastic approach, by proving a new type of nonlinear Feynman–Kac representation formula associated to a backward stochastic differential equation with time–delayed generator which is of non–Markovian type.

Referente: Luca Di Persio