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Probability and Computational Finance Seminar
Martin Larsson
ETH Zurich
Title: Generators of measure-valued jump-diffusions

Abstract: Measure-valued jump-diffusions provide useful approximations of large stochastic systems arising in finance, such as large sets of equity returns, limit order books, and particle systems with mean-field interaction. The dynamics of a measure-valued jump-diffusion is governed by an integro-differential operator of Levy type, expressed using a notion of derivative that is well-known from the superprocess literature, but different from the Lions derivative frequently used in the context of mean-field games. General and easy-to-use existence criteria for jump-diffusions valued in probability measures are derived using new optimality conditions for functions of measure arguments. Applications, beyond those mentioned above, include optimal control of measure-valued state processes.

Date: Thursday, January 18, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Johannes Muhle-Karbe