Date: Thursday, January 10, 2013
Location: 1360 East Hall (2:30 PM to 7:00 PM)
Title: Thesis Defense: Problems in Optimal Stopping and Control
Abstract: I will describe the three problems that I studied in my thesis, and discuss two of them in some detail. The first problem comes from mathematical finance, and involves the stability of exponential utility maximization with respect to market perturbations. We use the theory of BMO martingales to obtain conditions under which stability is guaranteed. The second problem comes from mathematical statistics, and is a extension of the classical sequential analysis problem of verifying a statistical hypothesis with a minimum number of observations. We consider an infinite sequence of Brownian Motions which have drift equal to zero or one, which may only be observed one at a time. If our goal is to find a B.M. with drift one, how should we observe the channels, and at what confidence threshold should we stop observation?
Speaker: Ross Kravitz
Institution: UM
Event Organizer: Erhan Bayraktar erhan@umich.edu
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