Title	Affine processes and non-linear (partial) differential equations
Creator	Teichman, Josef
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2016-05-26T10:00
Description	Affine processes have been used extensively to model financial phenomena since their marginal distributions are very tractable from an analytic point of view (up to the solution of a non-linear differential equation). It is well known by works of Dynkin-McKean-LeJan-Sznitman that one can turn this around and represent solutions of non-linear PDEs by affine processes. Recent advances in mathematical Finance in this direction have been contributed by Henry-Labordere and Touzi. We shall provide some general theory in this direction from the affine point of view. (Joint work with Georg Grafendorfer and Christa Cuchiero)
Extent	35 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: ETH Zurich
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2017-01-26
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0339962
URI	http://hdl.handle.net/2429/59823
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

Open Collections

BIRS Workshop Lecture Videos