Financial Math Seminar

Path-dependent Partial Differential Equations

  • 演讲者:Christian Keller(中佛罗里达大学)

  • 时间:2019-12-30 16:00-17:00

  • 地点:慧园3栋 415报告厅

Abstract: Path-dependent PDEs are PDEs defined on path spaces consisting of continuous or cadlag functions. Those PDEs appear naturally in non-Markovian problems in optimal control, probability, and mathematical finance, for example, optimal control of delay equations or pricing of path-dependent options. In this talk, I will give an overview of the theory of viscosity solutions of path-dependent PDEs of first and second order and I will address recent developments as well as some open problems.