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evenements:seminaireproba-math-fi [2019/05/03 11:37]
Valérie Picot
evenements:seminaireproba-math-fi [2019/09/12 09:58]
Valérie Picot
Line 7: Line 7:
  
 **__Exposés de l'​année 2019__ :** **__Exposés de l'​année 2019__ :**
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 +**26 septembre à 14h00 :** <color #088A85> Andrew Soane </​color> ​ (University of Cape Town)  //  Optimal stopping with an enlarged filtration with an application to the Brownian Bridge//
 +++ Voir résumé |  \\This talk will give an overview of the enlargement of filtration, focusing on the tools developed for its application,​ as well as a brief overview of optimal stopping problems from a Martingale perspective. We will then prove a relationship between the Snell envelope in the enlarged filtration and a parameterised Snell envelope in the reference filtration. Using this relationship we will then derive the optimal stopping value of a Brownian bridge, confirmed by results in the literature.
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 **16 mai à 14h00 :** <color #088A85> Aurélien ​ Alfonsi </​color> ​ (  Ecole des Ponts ParisTech) ​ //   ​Approximation of OT problems with marginal moments contraints (Joint work with Rafaëll Coyaud, Virginie Ehrlacher and Damiano Lombardi)// **16 mai à 14h00 :** <color #088A85> Aurélien ​ Alfonsi </​color> ​ (  Ecole des Ponts ParisTech) ​ //   ​Approximation of OT problems with marginal moments contraints (Joint work with Rafaëll Coyaud, Virginie Ehrlacher and Damiano Lombardi)//
evenements/seminaireproba-math-fi.txt · Last modified: 2020/04/06 11:36 by Valérie Picot

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