Backward stochastic differential equations (BSDEs) have been used with great success in stochastic finance and insurance for decades. However they also serve a more general purpose as a central method in applications of control theory in other areas. Peter Imkeller will introduce BSDEs by looking at a simple utility optimization problem in financial stochastics; an investment problem for a financial agent whose income is partly affected by market external risk. By applying the martingale optimality principle to solve this optimal investment problem, he will derive an important class of BSDE. Prof. Imkeller will also touch on the basics of existence and uniqueness theory for solutions to BSDE – the coefficients of which satisfy global Lipschitz conditions.

Speaker Biography

Professor Peter Imkeller received his Ph.D. in 1982 and his award-winning Habilitation in 1987, both from the Ludwig Maximilian University of Munich. He was a Heisenberg Scholar during 1988. He became Professor of Mathematics in 1993 and moved to Humboldt University of Berlin as the Professor for Stochastic Analysis in 1996. His list of publications contains several books and more than 140 papers. His main fields of research are stochastic analysis, random dynamical systems, stochastic stability and bifurcation, stochastic climate models and stochastic finance.

Lecture series notes available here.