Humboldt Distinguished Lecture Series in Applied Mathematics

Freddy Delbaen (ETH Zürich)
Tuesday, October 20, 2015 - 5:15pm to Wednesday, October 21, 2015 - 6:45pm
HU Berlin, Rudower Chaussee 25, Room 1.013

These lectures will cover the theory of monetary utility functions (or risk measures). The one period case together with duality arguments will give us the representation theorem. The more period case, especially the time consistent one, will make the bridge to Backward Stochastic Differential Equations. Some special topics that might be covered (depending on time) are: Law determined utility functions; Mackey continuous convex functions and the relation with functional analysis; Uniqueness and Existence of solutions for special BSDE; BSDE with unbounded terminal values.

The lectures take place
- October 20th, 17:15 - 18:45
- October 21st, 16:15 - 17:15 and 17:45 - 18:45