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Financial/Actuarial Mathematics Seminar

Multi-dimensional Path-dependent Hierarchical Forward Backward Stochastic Variational Inequalities
Wednesday, March 25, 2020
4:00-5:00 PM
1360 East Hall Map
In this paper, we consider a system of multi-dimensional path-dependent hierarchical forward backward stochastic variational inequalities (FBSVI). Both the forward and backward equations have subdifferential operators which generalize the reflection and skew factors. The forward stochastic variational inequalities are multi-dimensional, path-dependent, and built up hierarchically in a general way, which fully covers the stochastic volatility model in financial mathematics, and its newly explored variants with unknown well-posedness. Existence and uniqueness of a strong solution to the FBSVI is proved and the stability of the perturbed FBSVI system with a small positive parameter is investigated by asymptotic analysis. We further answered those questions on the one-dimensional hierarchical FBSVI with H\"older continuous coefficients. Speaker(s): Patricia Ning (UM (Stat))
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics