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Speaker: Mao Fabrice Djete

Title: A New Notion of BSDE for Measure-Dependent Control Problems and Its Applications

Abstract: I will introduce a notion of backward stochastic differential equation (BSDE) for optimization problems with measure dependence. I will begin with two examples that illustrate why a new formulation is needed: a “robust” principal–agent problem and a mean-field optimal stopping problem. I will then develop the BSDE formulation in the Markovian setting before turning to the non-Markovian case. Finally, I will discuss what well-posedness of these equations tells us about the underlying control problems, highlighting settings in which the approach works under weaker assumptions than existing methods or applies where standard techniques are not available.