Second-order backward SDE with random terminal time and applications

In this talk, we shall introduce our recent progress on the second-order BSDEs with random terminal time. In particular, we study a control problem on the solutions of BSDEs with random terminal time and prove the existence... [ view full abstract ]

In this talk, we shall introduce our recent progress on the second-order BSDEs with random terminal time. In particular, we study a control problem on the solutions of BSDEs with random terminal time and prove the existence and uniqueness of the corresponding second-order BSDEs. We afterwards apply this result to solve a Principal-Agent problem with moral hazard when the principal can decide the retirement of the agent.