Speaker: Ying Hu (Université Rennes 1, France)
Since the first theoretical results for Backward Stochastic
Differential Equations (BSDEs) in the early 1990s, this theory has
continued to grow due to its profound applications in finance, as well
as in the fields of partial differential equations, stochastic geometry,
and stochastic control.
This 4-hour short course aims to give an introduction to the basic theory of BSDEs and its application to quantitative finance.
Prerequisite: Ito’s stochastic integration and Ito’s formula
Plan:
Part 1: Lipschiz case: existence and uniqueness; linear BSDEs and comparison theorem; an application to option pricing
Part 2: Markovian BSDEs and PDEs: Markovian BSDEs; Markov property; nonlinear Feynman-Kac formula; an application to portfolio selection
Part 3: Quadratic BSDEs: bounded case; unbounded case; Feynman-Kac formula
Schedule and Venues [Map]:
8th August (Thurs):
3.00-5.30pm : Room YIA405, Yasumoto International Academic Park, CUHK;
4.00-4.30pm : Tea Break
9th August (Fri):
3.00-5.30pm : Room YIA505, Yasumoto International Academic Park, CUHK;
4.00-4.30pm : Tea Break
About the Speaker:
Ying Hu is a professor of exceptional class and the head of
“Stochastic Processes” Research Group of IRMAR (Institut de Recherche
Mathématique de Rennes) at the Université de Rennes 1, France. He was
educated at Fudan University, where he got his Ph D.
His research interests include: probability and stochastic processes;
stochastic differential equations and backward stochastic differential
equations; control and optimization; mathematical finance; probabilistic
methods for PDEs.