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
Mail priva di virus. www.avast.com