Cohen S., Gyöngy I., dos Reis G., Siska D., Szpruch,L. (eds.) Frontiers in Stochastic Analysis-BSDEs, SPDEs and their Applications

Springer, 2019. — 303 p.This collection of selected, revised, and extended contributions resulted from a Workshop on BSDEs, SPDEs, and their Applications that took place in Edinburgh, Scotland, in July 2017 and included the 8th World Symposium on BSDEs.The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in the modeling biological, physical, and economic systems, and underpin many problems in the control of random systems, mathematical finance, stochastic filtering, and data assimilation. The papers in this volume seek to understand these equations and to use them to build our understanding in other areas of mathematics.This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples.
On the Wellposedness of Some McKean Models with Moderated or Singular Diffusion Coefficient.
On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators.
An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time.
European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty.
Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling.
BSDEs and Enlargement of Filtration.
An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example.
Path-Dependent SDEs in Hilbert Spaces.