Backward Stochastic Differential Equations and Their Applications

Speaker: 

Adrien Richou, Associate Professor at the University of Bordeaux (https://www.math.u-bordeaux.fr/~arichou/)

Description: 

 Backward Stochastic Differential Equations (BSDEs) were introduced in a non-linear setting by \'Etienne Pardoux and Shige Peng (1990). This initial result gave rise to a huge amount of literature on the subject.

In this talk I will try to motivate the study of such a mathematical tool by explaining the links between BSDEs, PDEs, stochastic control problems and mathematical finance. I will also talk about some open questions related to recent BSDEs results.