OMI lecture series for young researchers - Backward stochastic differential equations and nonlinear expectations

Shige Peng (Professor of Mathematics, Shandong University) will deliver a mini lecture series for young researchers of five 90 minute seminars with discussion time.  The  spread over a two week period.  This course will cover Backward stochastic differential equations and nonlinear expectations.

Thurs 17 Jan 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Fri 18 Jan 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Tues 22 Jan 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Wed 23 Jan 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

Thurs 24 Jan 2013 - 10:00-11:30 seminar followed by refreshments and discussion time

In this mini-course, we consider continuous stochastic processes with uncertain volatility. This leads to models which differ fundamentally from those of classical probability theory, as we find that expectations are nonlinear, however many classical results have counterparts in this more general setting. We consider versions of such results as the central limit theorem, the strong law of large numbers and Ito's formula, and the connection of these processes to fully nonlinear PDE.

Registration for this event is free to University of Oxford Postgraduate Students and Faculty, OMI Associates and Members.

Industry places are available – please contact events@oxford-man.ox.ac.uk for more information.

Shing Peng photo courtesy of Nankai University, Tianjin, China

Location:
Speaker(s):

Shige Peng (Shandong University)

Start date:
Thursday, January 17, 2013 - 10:00
End date:
Thursday, January 24, 2013 - 12:00