Dear all,
you are all invited to participate to the following seminar on *Wednesday 8th of January 2025 at 16:00* in Aula Seminari Demografica 2062 at University of Milano Bicocca (via degli Arcimboldi 8, Milano - building U7, 2nd floor):
Speaker: *Giulia Di Nunno* (University of Oslo)
Titolo: Utility maximisation and change of variable formulas for time-changed dynamics
Abstract: We target the problem of expected utility maximisation of the terminal wealth in a semimartingale setting, where the semimartingale is written in terms of a time-changed Brownian motion and a finite variation process. As for the time-change we consider a general increasing stochastic process with finitely many jumps. To tackle this problem we present change of variable formulas for stochastic integrals w.r.t. the time-changed Brownian motion and we use techniques of enlargement of filtrations. The focus is on power and logarithmic utility. The presentation is based on joint work with Hannes Haferkorn (Commerzbank), Asma Khedher (U. Amsterdam), and Michèle Vanmaele (U. Ghent).
Best wishes,
Emanuela
****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca
e-mail: emanuela.rosazza1@unimib.it
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