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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 — 

Grazie per l’attenzione,

Anna Vidotto