Kommentar |
Voraussetzungen: Stochastik II.
Inhalt: Backward Stochastic Differential Equations (BSDE) are an active area of research in stochastic analysis with interesting links to analysis (probabilistic interpretation of non-linear PDEs), probability (non-linear 'g'-expectations) and mathematical finance (recursive utility preferences, dynamic risk measures, portfolio optimization, utility-based pricing and hedging). |