Buongiorno a tutti,

Vorremmo segnalarvi che questo venerdì (10 Novembre) alle ore 14:30 in aula 2BC30 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di:

Bernardo D’Auria (Università di Padova)

Title: An optimal stopping problem for Gauss-Markov bridges

Date: November 10, 2023 at 14:30, room 2BC30, Torre Archimede, University of Padova

Abstract: In this talk I’ll present a work I’ve been recently interested in. It consists in finding the optimal barrier strategy that maximizes the expected value of a Gauss-Markov bridge. The Gauss-Markov bridges are a general class of processes, obtained by conditioning a Gaussian Markov process to end in a specific point at a specific terminal time, or expiration date. This class includes the Brownian bridge and the Ornstein-Uhlenbeck bridge process as special cases, and its members have the property to be non-homogeneous in time and with an unbounded drift near the expiration date. I’m going to show that a feasible way to deal with the optimal stopping problem is to use a time-space transformation that allows to reduce it to an infinite horizon problem about a Brownian motion.

Vi aspettiamo numerosi!

Alberto e Alekos