Special Seminar

Title: Backward and forward-backward stochastic differential equations
Speaker: Professor Jin Ma
Speaker Info: Purdue University
Brief Description:
Special Note: Coffee will be served between the talks

Backward stochastic differential equations (BSDE) and its generalized form -- forward-backward stochastic differential equations (FBSDE), have received much attention in the past decade because of their interesting structure and their use in several applied fields. It has been noted that the degree of difficulty increases dramatically from solving a BSDE to solving a strongly coupled system of FBSDE. So far there is no unified method for solving BSDE's and FBSDEe's. Examples will be given to illustrate the basic features of these equations, and to show the difficulties that might be encountered when the general form of such equations has to be considered. We also present applications of these equations, connections with deterministic and stochstic PDE's and some recent developments of the theory.
Date: Wednesday, October , 2000
Time: 3:00-4:00pm and 4:30-5:30pmpm
Where: Lunt Hall 105
Contact Person: Prof. Elton P. Hsu
Contact email: elton@math.northwestern.edu
Contact Phone: 847-491-8541
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