Program
- 11:00 Giulia Di Nunno: Introduction to the STORM Project
- 11:05 Michele Giordano: A Maximum principle for Volterra time change processes.
Abstract: The goal of this presentation will be to prove a maximum principle for an optimal control problem of a system with Volterra type equation and driven by a time-changed Lévy noise.
-11.25 Olfa Draouil: Viable Insider Markets.
Abstract: We investigate a logarithmic utility maximization problem of the terminal wealth for an insider portfolio, where the inside information consists of knowledge of some future values of the Brownian motion B(t) driving the financial market.
The goal of this paper is to study when the market is viable, in the sense that the corresponding utility maximization problem admits a finite value.
-11.45-12.00 Fabian A. Harang: Multi-Parameter Signatures
Abstract: We will present some tools to solve linear multiparameter Volterra equations driven by space-time noise. This noise is assumed to lie in a space of jointly continous Hölder functions of possibly rough regularity. A typical example of such noise would be the Brownian, or fractional Brownian sheet. We will discuss current challenges and open problems related to such equations.
The seminar will take place in B1119, at Nils Henrik Abels Hus.
The event are open for everyone.