Graduate Students
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

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, 2014
Time: 5:00 pm
Location: Wean Hall 8427
Submitted by:  Dmitry Kramkov