Talks and Poster Presentations (without Proceedings-Entry):

S. Källblad:
"Measure-valued martingales and optimality solutions to the Skorohod Embedding Problem";
Talk: Seminar Financial and Insurance Mathematics, ETH, Zürich, Schweiz (invited); 2017-11-02.

English abstract:
We consider (probability) measure valued processes, which we call MVMs, which have a natural martingale structure. Following previous work such processes are known to have a close connection to solutions to the Skorokhod Embedding Problem. Here, we consider two key properties of these processes, and in particular, we are able to show that the MVMs connected to the Bass and Root embeddings possess natural optimality properties. Based on joint work with M. Beiglböck, A. Cox and M. Huesmann.

Electronic version of the publication:

Created from the Publication Database of the Vienna University of Technology.