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

19 aprile 2018
Versione stampabile

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