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Title	Continuous Time Perpetuities and the Time Reversal of Diffusions
Creator	Robertson, Scott
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-13
Description	In this talk we consider the problem of obtaining the\r\ndistribution of a continuous time perpetuity, where the non-discounted\r\ncash flow rate is determined by an ergodic diffusion. Using results\r\nregarding the time reversal of diffusions, we identify the distribution of\r\nthe perpetuity with the invariant measure associated to a certain\r\n(different) ergodic diffusion. This enables efficient estimation of the\r\ndistribution via simulation and, in certain instances, an explicit formula\r\nfor the distribution. Time permitting, we will talk about how Large\r\nDeviations Principles and results concerning Couplings of diffusions can\r\nbe used to estimate rates of convergence, thus providing upper bounds for\r\nhow long simulations must be run when obtaining the distribution.\r\n
Extent	33 minutes
Subject	Mathematics Game theory, economics, social and behavioral sciences Probability theory and stochastic processes Mathematical finance
Type	Moving Image
FileFormat	video/mp4
Language	eng
Notes	Author affiliation: Carnegie Mellon University
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-29
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044150
URI	http://hdl.handle.net/2429/50930
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
AggregatedSourceRepository	DSpace

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