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CANCELLED / RESCHEDULED: Radner equilibrium and systems of quadratic BSDEs with discontinuous generators; Daniel Schwarz (University of Warwick)

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Location: B2.02 (Chemistry and Science Concourse) and via Teams

Abstract: We establish the existence of a Radner Equilibrium in an incomplete, continuous-time financial economy. To prove existence, we formulate a system of quadratic backward stochastic differential equations (BSDEs) which represents the equilibrium problem. Interestingly, the driver of this system of BSDEs features a discontinuity, posing a major challenge for common approaches to establish existence. Exploiting the duality between Markovian BSDEs and PDEs we use unique continuation and backward uniqueness, techniques originally used in the study of PDEs, to show that the set of discontinuity has in fact measure zero. (Joint work with Luis Escauriaza and Hao Xing).

Unless otherwise specified, in Term 2 and Term 3, the Stochastic Finance seminar takes place on Wednesdays, starting at 11:00 am. In Term 2, the seminar takes place in Room B2.02 (Chemistry and Science Concourse)Link opens in a new window.

While the seminars will run in person, there is also the possibility to join via MS Teams. If you wish to be added to the respective Team, please contact the seminar organiser Miryana GrigorovaLink opens in a new window.

All are welcome.

Tags: SF@W

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