第18回デリバティブ部会セミナー

投稿日: 2020/11/02 11:31:37

Date：2020.11.20(Fri) 19:00-20:00

Venue：Tokyo Satellite Campus of Ritsumeikan University（Sapia Tower 8F ) 

（現地での参加は10名までとさせていただきます．参加登録者が10名を超えた時点で

受付を締め切ります）

and on the web (zoom link will be announced to JAFEE members) 

Speaker：Dr. Tadashi Hayashi (Mitsubishi UFJ trust and banking)

title： The existence and uniqueness of a solution to Double Barrier Backward Doubly Stochastic Differential Equations

abstract: Double barrier backward doubly stochastic differential equations (DB-BDSDEs, for short) are equations with two different directions of stochastic integrals, i.e., the equations involve both a standard “forward” stochastic integral and a “backward” stochastic integral with two mutually independent standard Brownian motions, and with two reflection barriers. This kind of equations is a joint version of backward doubly stochastic differential equations (BDSDEs, for short) and double barrier backward stochastic differential equations (DB-BSDEs, for short). The former has been introduced by Pardoux and Peng. They ave proved the connection with a class of systems of quasilinear SPDEs and the existence and uniqueness result of such PDEs. The latter has been tackled by Hamadene et al. In this talk, we try to show the outline of the proof for the existence and uniqueness of a solution to DB-BDSDEs by using the “penalization method”, so-called under appropriate conditions. At the end of this talk, we introduce our next some studies that we are tackling now.