Talks and Poster Presentations (without Proceedings-Entry):
"Existence of extremal diffusions matching a continuum of marginal and applications";
Talk: Joint Risk & Stochastics and Financial Mathematics Seminar Series 2016-17, LSE - London School of Economics and Political Sciences,
London, UK (invited);
Given the law of a diffusion process, we consider the problem of adjusting its drift via change of measure in a cost-optimal way so as to meet a prescribed continuum of marginals. When the cost criterion is the relative entropy, the optimizer is a singular diffusion (the so called critical Nelson process), extensively studied in the literature typically through approximation or large deviation techniques. In this talk we will consider different optimality criteria, and using convex duality as well as stochastic control techniques, obtain the existence of a singular optimal diffusion. As an application, we will discuss the link between this problem and imperfect hedging with static portfolios.This is work in progress with J. Fontbona.
Created from the Publication Database of the Vienna University of Technology.