Il prof. Boualem Djehiche (KTH Stockholm) terrà un seminario

dal titolo

On a class of mean-field reflected backward stochastic differential equations and the related obstacle problem.

Il seminario è fissato alle ore 10:30 del 27/1/2020 presso il Dipartimento di Matematica

dell'Università di Milano (via Saldini 50), in aula C (II piano).

Tutti gli interessati sono cordialmente invitati. Un sommario è riportato sotto.

Il prof. Djehiche è ospite del Dipartimento per tutta la settimana.

Cordialmente,

Marco Fuhrman

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Abstract. In this talk I will review  some recent results on the solvability of a class of reflected backward stochastic differential equations (BSDEs) (driven by the Brownian motion) of mean-field type, where the mean-field interaction in terms of the distribution
of the Y-component of the solution enters both the driver and the lower obstacle. When the reflected  BSDE is driven by an underlying Markov diffusion, it is possible to derive a related obstacle problem in the form of a variational inequality involving  differential operators w.r.t. both the space and the probability measure components.

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