Saul Jacka: Optimal stopping and smooth pasting

Date of publication: 16. 10. 2022
Seminar for probability, statistics, and financial mathematics
Thursday
20
October
Time:
14:15
Location:
Predavalnica 2.03 na FMF, Jadranska 21, Ljubljana.

V četrtek, 20. 10. 2022 ob14:15, bo v predavalnici 2.03 na FMF, Jadranska 21, potekalo predavanje Saula Jacke (University of Warwick) Optimal stopping and smooth pasting.

Povzetek: We first give a result on the semimartingale decomposition of the Snell envelope for an optimal stopping problem. In the Markovian setting, we then identify sufficient conditions for the value function of the optimal stopping problem to belong to the domain of the extended (martingale) generator of the underlying Markov process. We give an application to the smooth pasting condition.

Zaenkrat je predvideno, da bo predavanje potekalo v živo, bo pa organiziran tudi prenos prek videokonferenčnega sistema ZOOM. https://uni-lj-si.zoom.us/j/95492285750 ID: 954 9228 5750 Vljudno vabljeni!