一、题目
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
二、主讲人
范胜君
三、摘要
This talk is devoted to a general solvability of a multi-dimensional backward stochastic differential equation (BSDE) of a diagonally quadratic generator, by relaxing the assumptions of Hu and Tang (2016, SPA) on the generator and terminal value. Three new results are established on the local and global solutions when the terminal value is bounded and the generator is subject to some general assumptions. When the terminal value is unbounded but is of exponential moments of arbitrary order, an existence and uniqueness result is given, which seems to be the first general solvability of system of quadratic BSDEs with unbounded terminal values. This generalizes and strengthens some existing results via some new ideas. This is a joint work with Prof. Ying Hu and Prof. Shanjian Tang.
四、主讲人简介
范胜君,中国矿业大学数学学院教授、博士生导师,复旦大学博士后,法国雷恩第一大学访问学者。现任中国矿业大学数学学院院长,兼任江苏省高校数学教学研究会副理事长、江苏省概率统计学会常务理事、美国数学评论评论员。入选江苏省青蓝工程中青年学术带头人、江苏省青蓝工程优秀教学团队等人才项目。主要研究领域为随机分析与金融数学,主要研究方向为倒向随机微分方程理论及其应用。主持国家自然科学基金项目2项、省部级基金项目3项。在Stochastic Processes and their Applications、Electronic Journal of Probability、《中国科学》等中国数学会T类期刊上发表学术论文40余篇。获江苏省优秀教学成果一等奖、全国煤炭高等教育优秀教学成果一等奖等20余项荣誉和奖励。
五、邀请人
聂天洋
六、时间
7月22日(周五)9:30-10:30
七、地点
腾讯会议
八、联系人
聂天洋,联系方式:nietianyang@sdu.edu.cn
九、主办
山东大学数学学院