Date: Thursday, September 22, 2011
Location: 3088 East Hall (3:00 PM to 4:00 PM)
Title: Unspanned endowment and dynamical programming with face-lifting
Abstract: We will study the relation between optimizing over finite additive and countable additive probability measures. Standard arguments show that the optimizer is always attained in the finite additive class. We will then discuss and derive the influence a possible singular component has on the value function close to maturity.
Joint with Gordan Zitkovic.
Speaker: Kasper Larsen
Institution: Carnegie Mellon University
Event Organizer: Erhan Bayraktar erhan@umich.edu
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