Financial/Actuarial Mathematics Seminar

Backward Stochastic Differential Equations, in short BSDE, have become a particularly active field of research, due to their numerous potential applications to mathematical finance, partial differential equations, game theory, economics, and more generally in stochastic calculus and analysis. In this talk we will discuss initially the stability property of special semimartingales, where we refine the result obtained by Mémin in "Stability of Doob-Meyer Decomposition under Extended Convergence", 2003. Then, we focus on the special case where the sequence of semimartingales consists of solutions of Backward Stochastic Differential Equations with Jumps, in short BSDEJ, and we provide a suitable framework for obtaining the stability property of BSDEJ. Afterwards, we will proceed on some ongoing research and present some ideas on the stability property of (decoupled) Forward-Backward Stochastic Differential Equations with Jumps (FBSDEJ).


Connect at https://bluejeans.com/285526482 Speaker(s): Alexandros Saplaouras (UM)