Special Session 3: Modeling, Math Biology and Math Finance

An Ergodic BSDE approach to the construction of forward preferences

Gechun Liang
University of Warwick
England
Co-Author(s):    Ying Hu and Shanjian Tang
Abstract:
We present some recent progress about the construction of forward preferences using the tools from ergodic and infinite horizon backward stochastic differential equations. We derive a new type of quadratic BSDE system in infinite horizon for regime switching forward preferences, and solve the system using the multidimensional comparison theorem for BSDE. Based on a joint work with Ying Hu and Shanjian Tang.