I apologize for the mistake: it is 29th JUNE not JULY
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Dear All,
I am glad to announce the following two seminars at Scuola Normale Superiore on the
29th June 2017
14.30 Christa Cuchiero (University of Vienna)
Title: (Probability) measure-valued polynomial diffusions
Abstract:
We introduce polynomial diffusions taking values in the space of (probability) measures on a Polish space, extending the finite dimensional notion of polynomial processes to the infinite dimensional case. Our main goal is tractable dynamic modeling of (probability) measures with applications in large equity markets, capital distribution curve and term structure modeling. In the case of probability measures we provide a characterization of the corresponding extended generators, prove well-posedness of the associated martingale problems and recover the well-known Fleming-Viot process as special case. We obtain uniqueness of the martingale problem by establishing a formula for the conditional moments of the solution, which in the finite-dimensional case reduces to a matrix exponential.
15.30 Short break
16.00 Josef Teichmann (ETH-Zurich)
Title: Affine processes and non-linear (PI)DEs
Abstract: Motivated by works Dynkin, McKean, LeJan/Sznitman, Henry-Labordere and many others we show an abstract representation property for solutions of non-linear (PI)DEs by affine processes. This allows on the one hand to establish original simulation algorithms, on the other hand even to come up with new types of existence results for DEs.
(joint work with Christa Cuchiero).
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