Affine processes and non-linear differential equations

開催日時
2016/09/02 金 15:30 - 16:30
場所
3号館127大会議室
講演者
Josef Teichmann
講演者所属
ETH Zürich
概要

Affine processes have been used extensively to model financial phenomena since their marginal distributions are very tractable from an analytic point of view (up to the solution of a non-linear differential equation). It is well known by works of Dynkin-McKean-LeJan-Sznitman that one can turn this around and represent solutions of non-linear PDEs by affine processes. Recent advances in mathematical Finance in this direction have been made by Henry-Labordere and Touzi. We shall contribute some general theory and some new aspects to this field.

(Joint work with Georg Grafendorfer and Christa Cuchiero.)