Backward Stochastic Differential Equations with applications [2ECTS, MAT/06]

Speaker:  Adrian Zalinescu - Facultatea de Informatică Universitatea "Alexandru I. Cuza"
  Tuesday, April 27, 2021 at 3:15 PM

Lecturer: Adrian Zalinescu ( Facultatea de Informatică Universitatea "Alexandru I. Cuza" )

-          Period: April/May 2021 according with the following calendar:

  • 27/4 starting at 1520-1750 (3 academic hours, live)
  • 30/4 3 academic hours, NOT live , recording will be uploaded within the Moodle dedicated minisite
  • 4/5 starting at 1520-1750 (3 academic hours, live)
  • 7/5 3 academic hours, NOT live , recording will be uploaded within the Moodle dedicated minisite

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.


Interested students are asked to contact the course referent (Luca Di Persio) for Zoom details as well as for any questions/comments.

Programme Director
Luca Di Persio

Publication date
April 7, 2021

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