Mini course announcement
Prof. Adrian Zalinescu [ University Al.I.Cuza ] will give a mini course on Backward Stochastic Differential Equations with applications, at the Department of Computer Science, University of Verona, with the following calendar of lessons
26th of April - from 1430 to 1730
27th of April - from 1530 to 1830
28th of April - from 1530 to 1830
5th of May - from 1530 to 1730
6th of May - from 1530 to 1830
All the lessons will take place at the Dept. of Computer Science, Strada le Grazie, 15 - Verona Ca' Vignal 2, first floor , Room M.
located here
The* tentative programme* is the following:
1. BSDEs – general results Existence and Uniqueness of Solutions Comparison Principles Examples of Linear and Nonlinear BSDEs linear BSDEs arising from optimal control applications one-dimensional BSDEs with non-Lipschitz coefficients, especially with quadratic growth generators reflected BSDEs. 2. Markovian BSDEs Forward-backward SDE The nonlinear Feynman-Kac formula Connection with Partial Differential Equations 3. Applications in Mathematical Finance Along the above two theoretical directions which constitute the frame of the course, various applications in mathematical finance and insurance will be given. We mention here a few: Pricing of European and American options, Hedging, Risk-Sensitive Control.
Do not hesitate to contact me for further details: luca.dipersio@univr.it
LuCa
__ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance
Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968
Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686
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