Alexandros Saplaouras, University of Michigan

Stability of (F)BSDEs Under Mémin's Framework
Dec 4, 2019, 4:30 pm5:30 pm
101 - Sherrerd Hall


Event Description

Backward Stochastic Differential Equations, in short BSDE, have become a particularly active field of research, due to their numerous potential applications to mathematical finance, partial differential equations, game theory, economics, and more generally in stochastic calculus and analysis. In this talk we will discuss initially the stability property of special semimartingales, where we refine the result obtained by Mémin in "Stability of Doob-Meyer Decomposition under Extended Conergence", 2003. Then, we focus on the special case where the sequence of semimartingales consists of solutions of Backward Stochastic Differential Equations with Jumps, in short BSDEJ, and we provide a suitable framework for obtaining the stability property of BSDEJ. Afterwards, we will proceed on some ongoing research and present some ideas on the stability property of Forward-Backward Stochastic Differential Equations with Jumps (FBSDEJ).

Short bio: A.S. has been a Postdoctoral Assistant Professor at the Department of Mathematics and member of the Financial and Actuarial Mathematics Group of the University of Michigan since September 2017. He obtained his PhD at the Technical University of Berlin, Germany, under the supervision of Prof. A. Papapantoleon. A.S.'s main research interests lie on limit theorems for processes with jumps, their numerical implementations, and model uncertainty problems in mathematical finance.

Event Category
Financial Mathematics Seminar