Post/Doctoral Seminar in Mathematical Finance

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6 October 2020
15:15-16:15

Dr. Andrew Allan
ETH Zurich, Switzerland

Event Details

Title	Càdlàg rough differential equations with reflecting barriers
Speaker, Affiliation	Dr. Andrew Allan, ETH Zurich, Switzerland
Date, Time	6 October 2020, 15:15-16:15
Location	HG G 19.2
Abstract	We investigate rough differential equations with a time-dependent reflecting lower barrier, where both the driving (rough) path and the barrier itself may have jumps. Such reflected equations are particularly interesting due to the lack of uniqueness of solutions in the general case. We present the most general results known so far for such equations.

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