Seminario del 2021

Dicembre
20
2021
Elena Bandini
BSDEs driven by general random measures
nell'ambito della serie: TOPICS IN MATHEMATICS 2021/2022
probabilità
In the first part of the seminar we introduce Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion, and we show a classical well-posedness result for this class of equations. In the second part, we give an overview on jump measures and related stochastic calculus. Then, we consider BSDEs driven by a general random measure, and we show how additional conditions have to be imposed in order to recover existence and uniqueness for the corresponding solutions.
organizzato da: Antonella Grassi, Stefano Pagliarani

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