| Date | 2021-02-09 |
|---|---|
| Speaker | 남기훈 |
| Dept. | Monash University |
| Room | 선택 |
| Time | 11:00-12:00 |
※ 온라인 세미나 Zoom: https://snu-ac-kr.zoom.us/j/8156716391
In this talk, we will establish a framework to solve FBSDE using BSDE and Girsanov transform. While the change of measure only guarantees the existence of weak solution, but we provide sufficient conditions to guarantee the existence of a strong solution. In particular, the framework enables us to studies FBSDE where there are discontinuities for the coefficients. Using the Feynman-Kac theorem, the semilinear parabolic PDEs with measurable coefficients are solved.
