Speaker: Fan Shengjun, Professor and doctoral supervisor of the School of Mathematics, China University of Mining and Technology.

Date: Friday, July 22, 2022

Time: 9.30-10:30

Location: Tencent Meeting

Sponsor: School of Mathematics, Shandong University

Abstract: 

This talk is devoted to a general solvability of a multi-dimensional backward stochastic differential equation (BSDE) of a diagonally quadratic generator, by relaxing the assumptions of Hu and Tang (2016, SPA) on the generator and terminal value. Three new results are established on the local and global solutions when the terminal value is bounded and the generator is subject to some general assumptions. When the terminal value is unbounded but is of exponential moments of arbitrary order, an existence and uniqueness result is given, which seems to be the first general solvability of system of quadratic BSDEs with unbounded terminal values. This generalizes and strengthens some existing results via some new ideas. This is a joint work with Prof. Hu Ying and Prof.Tang Shanjian.

For more information, please visit:

https://view.sdu.edu.cn/info/1020/167742.htm