SEMINAR IN DECISION SCIENCES DEPARTMENT OF ECONOMICS AND FINANCE
March 15th from 14:30 to 15:30 in room 204 LUISS Viale Romania 32 00197 Roma
(note the change of time and room)
Title of the talk: Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach
Speaker: Peter Tankov (Universite Paris Diderot -- Paris 7)
Abstract We consider the problem of tracking a target whose dynamics is modeled by a continuous Ito semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the time-average control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided.
Joint work with Jiatu Cai and Mathieu Resenbaum
paper available at http://arxiv.org/abs/1510.04295
******************************************************* Marco Scarsini Dipartimento di Economia e Finanza LUISS Viale Romania 32 00197 Roma, ITALY
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Marco Scarsini