Wednesday, April 18, 2018 11 a.m. to noon

Path-dependent Partial Differential Equations

 Dr. Christian Keller

University of Michigan

Abstract:  Partial differential equations (PDEs) play an important role in mathematical finance and stochastic optimal control.  However, non-Markovian problems such as pricing of path-dependent options or control problems involving delays cannot, in general, be treated with standard PDE methods in contrast to the Markovian case.

 

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Mathematical Sciences Building: 318

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Mathematics Department Calendar

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