Date: Wednesday, January 24, 2018
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Generators of measurevalued jumpdiffusions
Abstract: Measurevalued jumpdiffusions provide useful approximations of large stochastic systems arising in finance, such as large sets of equity returns, limit order books, and particle systems with meanfield interaction. The dynamics of a measurevalued jumpdiffusion is governed by an integrodifferential operator of Levy type, expressed using a notion of derivative that is wellknown from the superprocess literature, but different from the Lions derivative frequently used in the context of meanfield games. General and easytouse existence criteria for jumpdiffusions valued in probability measures are derived using new optimality conditions for functions of measure arguments. Applications, beyond those mentioned above, include optimal control of measurevalued state processes.
Files: 5029_Larsson.pdf
Speaker: Martin Larsson
Institution: ETH
Event Organizer:
