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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__ :**
+**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.
+++
 **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)//