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Probability and Computational Finance Seminar
Kostas Kardaras
Boston University
Title: On Random Times

Abstract: In this talk, a study of random times on filtered probability spaces is undertaken. One of the main messages is that, as long as distributional properties of adapted processes up to the random time are involved, there is no loss of generality in assuming that the random time is actually a randomized stopping time. This perspective sheds an intuitive light on results in the theory of progressive enlargement of filtrations, as is the semimartingale decomposition result of Jeulin and Yor. Financial applications of the previous theory include the role of the numeraire portfolio in stochastic finance as an indicator of overall market performance, as well as the problem of expected utility maximization from terminal wealth with a random time-horizon. Further applications in distributional properties of one-dimensional transient diffusions up to certain random times will be discussed.

Date: Monday, March 14, 2011
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Steve Shreve