Kihun Nam, Monash University

Fixed Point Formulation for Backward SDEs and their Generalizations

Abstract

In this talk, we introduce a class of backward stochastic equations (BSEs) that extend classical BSDEs and include many interesting examples of generalized BSDEs as well as semimartingale backward equations. We show that a BSE can be translated into a fixed point problem in a space of random vectors. This makes it possible to employ general fixed point arguments, either algebraic or topological to find solutions. For instance, Banach's contraction mapping theorem can be used to derive general existence and uniqueness results for equations with Lipschitz coefficients, whereas Schauder-type fixed point arguments can be applied to non-Lipschitz equations. The approach works equally well for multidimensional as for one-dimensional equations and leads to results in several interesting cases such as equations with path-dependent coefficients, anticipating equations, McKean-Vlasov type equations and equations with coefficients of superlinear growth.