报告人：林一青 副教授（上海交通大学）

时间：2026年06月12日 15:30-

地点：数统学院LD703

摘要：We study a class of (reflected)-backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator. Based on fixed point argument, θ-method and truncation technique, the well-posedness of this kind of RBSDE with unbounded terminal condition and obstacle is investigated. Besides, we present an application on the pricing of American options via utility maximization, which is solved by constructing an RBSDE with a convex generator. Joint work with Zihao Gu and Kun Xu.

邀请人：张志民

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