STAR seminar: Tomasz Klimsiak

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The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.

Speaker: Tomasz Klimsiak (Nicolaus Copernicus University)

Title: Non-semimartingale solutions to reflected BSDEs with applications to Dynkin games 

Abstract: It is well known that the theory of Reflected BSDEs is well-posed under the Mokobodzki condition on the barriers L,U. This is due to the fact that by the very definition of a solution to RBSDE, its first component is a semimartingale that lies between the barriers - this is exactly the content of the (weak) Mokobodzki condition. However, there is an intimate connection between solutions of RBSDEs and value processes in Dynkin games and it is well known that in some instances the latter process is well defined even if Mokobodzki’s condition does not hold, so the natural question arises whether such a process solves in a unique way certain backward SDE. Our goal is to extend the notion of RBSDEs and provide the existence and uniqueness results to obtain a one-to-one correspondence between solutions of RBSDEs and value processes in nonlinear Dynkin games.

[1] Klimsiak, T.: Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games. Stochastic Process. Appl. 134 (2021) 208–239

This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS

Published Nov. 10, 2022 11:38 AM - Last modified Nov. 25, 2022 10:53 AM