Symmetric processes and Ocone martingales

Add to your list(s) Download to your calendar using vCal

• Thorsten Rheinlander
• Tuesday 14 June 2011, 16:30-17:30
• MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB.

If you have a question about this talk, please contact Berestycki.

In a recent paper, Mike Tehranchi provided a link between continuous symmetric martingales and the self-duality property of their stochastic exponentials. We explore this link further by providing a characterization of Ocone martingales in terms of certain associated stochastic exponentials. Moreover, we discuss quasi self-dual processes which have received attention in connection with semi-static hedges of barrier options. Joint work with Michael Schmutz.

This talk is part of the Probability series.

This talk is included in these lists:

• All CMS events
• All Talks (aka the CURE list)
• CMS Events
• DPMMS Lists
• DPMMS info aggregator
• DPMMS lists
• Hanchen DaDaDash
• Interested Talks
• MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB
• Probability
• School of Physical Sciences
• Statistical Laboratory info aggregator
• bld31

Note that ex-directory lists are not shown.