Some new results on second order BSDE

Sandwich Seminar

In this short seminar, we introduce some new results on second order BSDE with quadratic growth and its application to utility maximization problem. Besides, we will recall some background of second order BSDE and give a short comparison of this framework to BSDE under $G$-expectation.

Location:
Speaker(s):

Yiqing Lin (Univ-Rennes1, France)

Date:
Monday, October 15, 2012 - 12:30
to 13:30