| Description : |
The Theory of the expansion of filtrations was created in the 1980s, following the seminal result of K. Ito, where the domain of the Ito integral is expanded from predictable processes, by expanding the filtration in such a way that, while the Brownian motion is no longer a martingale, it nevertheless remains a semimartingale. A flip side of the expansion of filtrations is the shrinkage of filtrations. The main results in this area are 30 years old; we will dsicuss these results and conect them to recent results. We will also show how these results impact some areas of mathematical finance theory. This talk is based on current work joint with Hans
Föllmer, as well as current work joint with Robert Jarrow. |
| Equipe organisatrice : |
Probabilités et Statistiques |
| Jury (Thèse / HDR) : |
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| Orateur : |
Pr Philippe Protter |
| Titre (Thèse / HDR) : |
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| Université Orateur : |
Cornell University |
| URL Orateur : |
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| Ressource : |
Laboratoire J.A.Dieudonné - Salle de conférence |
| Date de début : |
11:00 - vendredi 17 juillet 2009 |
| Durée : |
1 heure(s) |
| Date de fin : |
12:00 - vendredi 17 juillet 2009 |
| Type : |
Séminaire |
| Réservation effectuée par : |
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| Dernière mise à jour : |
17:42 - mercredi 15 juillet 2009 |