Probability Seminar

SPEAKER: Prof. Yufeng Shi, Shandong University/UCF

TITLE: Backward Stochastic Integral Equations

ABSTRACT: In this talk we introduce a Volterra type of backward stochastic integral equations, i.e. so called backward stochastic Volterra integral equations (BSVIEs in short), which are natural generalization of backward stochastic differential equations (BSDEs in short). We will present some survey of old and introductory results, followed by some most recent developments, including M-solutions, S-solutions, C-solutions multi-dimensional comparison theorem, and mean-field BSVIEs. Main motivations of studying such kind of equations are as follows: (i) in studying optimal controls of (forward) stochastic Volterra integral equations, such kind of equations are needed when a Pontryagin type maximum principle is to be stated; (ii) in measuring dynamic risk for a position process in continuous time, such an equation seems to be suitable; (iii) when a differential utility needs to be considered with possible time-inconsistent preferences, one might want to use such equations.