On some properties of a class of quadratic forward-backward stochastic differential equations (QFBSDE)

Abstract: In this talk, we will discuss conditions that guarantee the unique solvability for a class of quadratic forward backward stochastic differential equations (QFBSDE) with measurable drift and continuous generators. Our approach is based on the link between the solution to the QFBSDE and that of a quasi-linear parabolic PDE and on an application of the Itô-Krylov formula for BSDE. We also study some smoothness properties satisfied by solutions to such of QFBSDE.

Speaker: Mr. Rhoss LIKIBI PELLAT
call : (US) +1 609-429-5796, Code : 309 297 648#

Tuesday, January 5, 2021 - 15:00