On April Thursday 21 at 15:30, Cagin Ararat (Bilkent University) will give a virtual seminar “in Insubria & Bicocca”, to which you are all invited. Title and abstract below.

Title: Set-valued martingales and backward stochastic differential equations

Abstract:
Motivated by the connection between univariate dynamic risk measures and backward stochastic differential equations, we start building a theory for set-valued backward stochastic differential equations (SV-BSDE). As a first step for this purpose, we formulate a simple SV-BSDE with a compact-valued driver function and study the well-posedness of this SV-BSDE. A key tool in establishing well-posedness is the availability of a stochastic integral representation for set-valued martingales. We prove a new martingale representation theorem which, in contrast to the available literature, allows the initial value of the martingale to be nontrivial. This is a joint work with Jin Ma (USC) and Wenqian Wu (USC).

The seminar will be on Microsoft Teams. You can find the information to join below.

Topic: Cagin Ararat - Set-valued martingales and backward stochastic differential equations

Time: Apr 21, 2021 03:30 PM Rome

Where: Microsoft Teams

Link: https://teams.microsoft.com/l/meetup-join/19%3ameeting_Yzc1OGY5YjAtNjNhZC00ODIxLWI2NWQtNjM1OWY4OTEwMGI5%40thread.v2/0?context=%7b%22Tid%22%3a%229252ed8b-dffc-401c-86ca-6237da9991fa%22%2c%22Oid%22%3a%22c41d027e-2a91-42e2-806d-0d713af89e96%22%7d

Please forward to anyone interested.

Kind regards,

Emanuela Rosazza Gianin and Elisa Mastrogiacomo