Skorohod equation and reflected backward SDE

Stochastic Analysis Seminar Series

By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance induced by the reflected local time. In particular, we present a new method to study the reflected BSDE proposed first by El Karoui et al. (1997).

Location:
Speaker(s):

Mingyu Xu (Beijing, China)

Date:
Monday, October 15, 2012 - 15:45
to 16:45