Mathematical Finance Seminar
online via zoom
Jin Ma (USC)

On Set-valued Backward SDEs and Related Issues in Set-valued Stochastic Analysis

In this talk we try to establish an analytic framework for studying Set-Valued Backward Stochastic Differential Equations (SVBSDE for short), motivated largely by the current studies of dynamic set-valued risk measures for multi-asset or network-based financial models. Our framework will be based on the notion of Hukuhara difference between sets, in order to compensate the lack of “inverse” operation of the traditional Minkowski addition, whence the vector space structure, in traditional set-valued analysis. We shall examine and establish a useful foundation of set-valued stochastic analysis under this algebraic framework, and identify the challenges that may arise in the study of SVBSDEs.