73882必赢网页版(中国)欧洲杯

Research

Financial Math Seminar

Path-dependent Partial Differential Equations

Speaker: Christian Keller (University of Central Florida)
Time: Dec 30, 2019, 16:00-17:00
Location: Conference Room 415, Hui Yuan 3#

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.