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Probability and Computational Finance Seminar
Claudia Nunes
University of Lisbon, Portugal
Title: Optimal investment with random innovations

Abstract: In this talk we study the optimization of the value of a firm when innovations occur according to a non-homogeneous Poisson process. We propose a modified problem, using a truncation method. We prove that this problem may be solved and that the solution converges to the solution of the original problem. Moreover we discuss the existence of such solution, and we provide characterization for some cases, including the constant intensity, the increasing intensity and the unimodal intensity cases.

Date: Monday, October 13, 2014
Time: 5:00 pm
Location: Porter Hall 226C
Submitted by:  Dmitry Kramkov