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Math Colloquium
Gordan Zitkovich
University of Texas, Austin
Title: Stability in Financial Markets

Abstract: The goal of the talk is to give a wide overview of some recent progress made by the speaker and his collaborators in the area of stochastic optimization. The central focus will be on the questions of stability for the problem of optimal investment in fairly general models of financial markets. In addition to the central role stability plays in the mathematical treatment of this important problem, it also opens doors towards a natural approach to statistical analysis of market data and provides clues for the key features a modeler should look for. There is more; an understanding of the topologies under which our problem is stable leads to a new approach to the study of existence of stochastic equilibria, as well as a host of new insights into the fascinating structure of the Frechet space L0 (the space of a.s.-equivalence classes of finite random variables, endowed with the topology of convergence in probability).

Refreshments at 4:00, Wean 6220.

Date: Thursday, January 13, 2011
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Shreve