[Back]

S. Källblad:
"Stochastic control of measure-valued martingales with applications to robust pricing and Skorokhod embedding problems";
Talk: Stochastic Finance @Warwick Seminars, Department of Statistics, University of Warwick (invited); 2018-11-30.

We consider a stochastic control problem where the controlled processes are (probability) measure-valued martingales (MVMs). We will discuss a notion of (weakly) controlled MVMs and in particular how to obtain so-called terminating MVMs. We will then establish well-posedness of our problem, show that the dynamic programming principle holds and that the solution is a viscosity solution in a certain sense to an emerging HJB equation. A key motivation for the study of control problems featuring MVMs is that a number of interesting probabilistic problems can be formulated as such. In particular, this applies to the financially motivated problem of finding model-independent price bounds on options when call prices at the maturity of the option are known. It is also the case for the classical optimal Skorokhod embedding problem; we illustrate this by considering some key examples. The talk is based on joint work with A. Cox, M. Larsson and S. Svaluto.

https://warwick.ac.uk/fac/sci/statistics/research/sfw/seminar/