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BSDEs reflected in a non convex domain: a geometric point of view; Adrien Richou (Université de Bordeaux)

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

Abstract: In a recent paper, we have proved, with J.-F. Chassagneux and S. Nadtochiy, some existence and uniqueness results for BSDEs reflected in a non-convex domain under some restrictive assumptions on the domain and the terminal condition. All these results were obtained by tools and estimates based on the Euclidean structure of $\mathbb{R}^d$. In order to improve these results, at least in dimension $2$, it is also possible to see our domain as a flat manifold with a boundary and to take advantage of geometry tools already developed to tackle martingales in (non flat) manifolds (without boundary). In this talk, I will explain this new approach and the kind of results we are able to obtain. This is a work in progress with M. Arnaudon, J.-F. Chassagneux and S. Nadtochiy.

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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