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Continuous Time Perpetuities and the Time Reversal of Diffusions Robertson, Scott 2014-05-13
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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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https://iiif.library.ubc.ca/presentation/dsp.48630.1-0044150/manifest