From Azema supermartingales of finite honest times to optional semimartingales of class-(Sigma)

题目: From Azema supermartingales of finite honest times to optional semimartingales of class-(Sigma)

摘要: Given a finite honest time, we derive representations for the additive and multiplicative

decomposition of it’s Azema supermartingale in terms of optional supermartingales and its running supremum. We then extend the notion of semimartingales of class-(Sigma) to optional semimartingales with jumps in its finite variation part, allowing one to establish formulas similar to the Madan-Roynette-Yor option pricing formulas for larger class of processes. Finally, we introduce the optional multiplicative systems associated with positive submartingales and apply them to construct random times with given Azema supermartingale.

报告人:Li Libo, The University of New South Wales

报告时间:8月24日(周五),上午10:30-11:30

报告地点:知新楼B1248

Li Libo博士简介:Li libo博士,澳大利亚新南威尔士大学讲师。2012年在澳大利亚University of Sydney取得应用数学博士学位,曾在法国Universite d’Evry Val d’Essonne和日本Ritsumeikan University从事博士后研究,2014年至今在澳大利亚新南威尔士大学担任讲师。研究方向为金融数学、信用违约和随机分析。在金融数学国际权威期刊Math. Finan., Finan. Stoch., 随机分析权威期刊Ann. App. Probab., Stochastic Process. Appl.等发表论文多篇。

邀请人:聂天洋