BEGIN:VCALENDAR
VERSION:2.0
CALSCALE:GREGORIAN
PRODID:iCalendar-Ruby
BEGIN:VEVENT
CATEGORIES:Lecture / Talk / Workshop
DESCRIPTION:Çağın Ararat\, Bilkent\n[in-person]\n\nor\n\nZoom Meeting: http
s://usc.zoom.us/j/96132964982?pwd=WGY1dlVCNDRoSWhhczB1aEtlSGhzdz09\nMeeting
ID: 961 3296 4982\nPasscode: 755270\n\nAbstract: Motivated by the connecti
on between univariate dynamic risk measures and backward stochastic differe
ntial equations\, we start building a theory for set-valued backward stocha
stic differential equations (SV-BSDE). As a first step for this purpose\, w
e formulate a simple SV-BSDE with a compact-valued driver function and stud
y the well-posedness of this SV-BSDE. A key tool in establishing well-posed
ness is the availability of a stochastic integral representation for set-va
lued martingales. We prove a new martingale representation theorem which\,
in contrast to the available literature\, allows the initial value of the m
artingale to be nontrivial. This is a joint work with Jin Ma and Wenqian Wu
.
DTEND:20221028T233000Z
DTSTAMP:20241003T140651Z
DTSTART:20221028T223000Z
GEO:34.022409;-118.291027
LOCATION:Kaprielian Hall (KAP)\, 414
SEQUENCE:0
SUMMARY:Probability and Statistics Seminar: Set-valued martingales and back
ward stochastic differential equations
UID:tag:localist.com\,2008:EventInstance_41368483459677
URL:https://calendar.usc.edu/event/probability_and_statistics_seminar_set-v
alued_martingales_and_backward_stochastic_differential_equations
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