学术报告(Yushi Hmaguchi 11.20)

Finite-dimensional approximation of solutions of infinite-dimensional BSDEs

发布人:周妍 发布日期:2018-11-02
主题
Finite-dimensional approximation of solutions of infinite-dimensional BSDEs
活动时间
-
活动地址
数学楼415
主讲人
Yushi Hmaguchi 研究助理 (日本京都大学)

摘要:

We consider Lipschitz-type backward stochastic differential equations (BSDEs) driven by cylindrical martingales on the space of continuous functions. We show the existence and uniqueness of the solution of such infinite-dimensional BSDEs and prove that the sequence of solutions of corresponding finite-dimensional BSDEs approximates the original solution. We also consider the hedging problem in bond markets and prove that, for an approximately attainable contingent claim, the sequence of locally risk-minimizing strategies based on small markets converges to the generalized hedging strategy.

 

数学学院

2018年11月2日