学术报告题目：Characterising the path-independence of stochastic differential equations: a problem arising in financial modeling

报告人：吴奖伦教授（英国斯旺西大学数学系）

报告时间： 2020年1月6日（星期一）15:30-16:30

报告地点：新图书馆会议中心五会议室

报告摘要: This talk will address a problem arising in financial modelling with stochastic differential equations (SDEs). A characterisation theorem will be derived in which we establish a new link from SDEs to nonlinear parabolic PDEs. Starting from the necessary and sufficient conditions of the path-independence of the density of Girsanov transform for SDEs, we are able to derive a characterisation by means of nonlinear parabolic equations of Burgers-KPZ type. Extensions to the cases of degenerated SDEs, jump SDEs, as well as to (infinite dimensional) SDEs on separable Hilbert spaces will be discussed. A perspective to stochastically deformed dynamical systems will be briefly considered.