Robust optimization and quadratic BSDEs
- Series
- Mathematical Finance/Financial Engineering Seminar
- Time
- Wednesday, November 28, 2012 - 15:00 for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Daniel Hernandez – CIMAT, Mexico
Please Note: Hosts: Christian Houdre and Liang Peng
The relation between robust utility maximization problems and
quadratic backward stochastic differential equations will be explored
in this talk. Motivated by the solution of the dual formulation of
the robust hedging problem for semi-martingales, when the model adopted
is a diffusion it is possible to describe more completely the solution
using the dynamic programming intuition, as well as some results of
BSDEs.