Cari tutti,
Ricordo il seminario che si terrà venerdì 5 aprile alle ore 16.30 in aula D’Antoni, Dipartimento di Matematica, Università degli Studi di Roma Tor Vergata.
Speaker: Paolo Di Tella (Technische Universität Dresden)
Title: On The Weak Representation Property in Progressively Enlarged Filtrations with an Application in Exponential Utility Maximization
Abstract: In this talk we show that the weak representation property of a semimartingale X with respect to a filtration F is preserved in the progressive enlargement G by a random time τ avoiding F-stopping times and such that F is immersed in G. As an application of this, we can solve an exponential utility maximization problem in the enlarged filtration G following the dynamical approach, based on suitable BSDEs, both over the fixed-time horizon [0, T], T > 0, and over the random-time horizon [0, T ∧ τ].
— This talk is part of the activity of the MIUR Excellence Department Project CUP E83C18000100006 —
Tutti gli interessati sono invitati a partecipare.
Grazie per l’attenzione,
Anna Vidotto
--------- Anna Vidotto
PostDoc Researcher Dipartimento di Matematica Università degli Studi di Roma Tor Vergata