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Probability and Computational Finance Seminar
Sergey Nadtochiy University of Michigan in Ann Arbor Title: Weak Reflection Principle for Markov Processes. Abstract: The classical Reflection Principle allows one to express the joint distribution of a Brownian motion and its running maximum through the distribution of the process itself. It relies on the specific symmetry and continuity properties of a Brownian motion and, therefore, cannot be directly applied to an arbitrary Markov process. I will show that, in fact, there exists a weak formulation of this method that allows to obtain similar results for the Markov processes which do not posses any symmetry properties. I will describe the Weak Reflection Principle for general Markov processes and will prove its validity for diffusions and Levy processes. I will also demonstrate the applications of this technique in Finance, Computational Methods, and Inverse Problems.Date: Monday, March 3, 2014Time: 5:00 pmLocation: Wean Hall 8427Submitted by: Dmitry KramkovNote: PLEASE NOTE CHANGE OF ROOM. |