Robust optimization and quadratic BSDEs

Mathematical Finance/Financial Engineering Seminar
Wednesday, November 28, 2012 - 15:00
1 hour (actually 50 minutes)
Skiles 005
CIMAT, Mexico

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.