Project Details
Projekt
Rough backward stochastic differential equations (A07)
Subject Area
Mathematics
Term
since 2024
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 516748464
Recent developments show an increasing integration of concepts from rough and stochastic analysis. We focus on classes of backward stochastic differential equations (BSDEs) with less regularity than classical theory. This project explores BSDEs with hybrid dynamics, incorporating both stochastic and rough driving noises. We particularly emphasize the stability of such equations, including BSDEs with rough jump noise and hybrid rough stochastic forward processes. Moreover, the project examines the connection to semilinear singular PDEs.
DFG Programme
CRC/Transregios
Applicant Institution
Technische Universität Berlin
Project Heads
Professor Dr. Dirk Becherer; Professor Dr. Peter Karl Friz
