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Objectives

 

Task 1. Oblique Skorohod problem and associated stochastic variational inequalities (SVIs)

Task 2. State constraints backward stochastic differential equations (BSDEs) governed by Brownian motion

Task 3. Existence and uniqueness of stochastic differential equations (SDEs) with generalized reflection

Task 4. Necessary and sufficient conditions of optimality for SDEs with generalized reflection

Task 5. SVIs with non-gaussian drivers

Task 6. Partial differential equations (PDEs) associated to stochastic differential systems with state constraints


Presentation of the research topics