Lecturer: Adrian Zalinescu ( Facultatea de Informatică Universitatea "Alexandru I. Cuza" )
- Period: April/May 2021 according with the following calendar:
live lessons will be provided via Zoom [ contact the organizer for the link ]
- Venue: on-line - 2CFU (12 hours)
- Examiners: Luca Di Persio (University of Verona)
- Assessment method: Project presentation exploiting material discussed during the course. Further topics, linked to the course contents, could be also considered
- Contents: We provide an introduction to Backward Stochastic Differential Equations (BSDEs), starting from recalling: existence and uniqueness results and related comparison principles for BSDEs with Lipschitz coefficients, then moving toward considering 1-dim BSDEs with non-linear coefficients, particularly analysing those characterized by quadratic growth generators, and reflected-BSDEs. We end the minicourse studying the non-linear Feynman-Kac formula as to consider the connection between SBDEs and non-linear PDEs. The course will be developed having in mind specific applications within the mathematical finance framework, e.g.: Pricing of European and American options, Hedging, Risk-Sensitive Control.******** CSS e script comuni siti DOL - frase 9957 ********