Mathematical Finance Seminar
Date
Time
16:15
Location
RUD 25; 1.115
Stefanos Theodorakopoulos (TU Berlin)
Topics on mean-field and McKean–Vlasov BSDEs, and the backward propagation of chaos
We shall present different versions of McKean-Vlasov and mean-field BSDEs of increasing generality, and the notion of backward propagation of chaos. We will then discuss some of the technical difficulties associated with the corresponding limit theorems and see some of their immediate corollaries and rates of convergence. Finally, we will introduce the concept of stability with respect to data sets for the backward propagation of chaos, and state the intermediate results that allowed us to prove its validity under a natural framework.