Research Seminar by Dr. John Moriarty
The professor at the School of Mathematical Sciences, Queen Mary University of London holds a seminar with the title: Optimal stopping with nonlinear expectation: Geometric and algorithmic solutions.
Date: 30-09-2024, Monday, 11:40-13:00
Location: Institute of Finance – Room E.279.1. (Corvinus main building E, second floor)
The abstract of Dr. John Moriarty’s lecture: We use the geometry of functions associated with martingales under nonlinear expectations to solve risk-sensitive Markovian optimal stopping problems. Generalising the linear case due to Dynkin and Yushkievich (1969), the value function is the majorant or pointwise infimum of those functions which dominate the gain function. An emphasis is placed on the geometry of the majorant and pathwise arguments, rather than exploiting convexity, positive homogeneity or related analytical properties. An algorithm is provided to construct the value function at the computational cost of a two-dimensional search. The talk is based on the preprint https://arxiv.org/abs/2306.17623 .
Joint work with Tomasz Kosmala
- Read Dr. John Moriarty’s publications: https://www.qmul.ac.uk/maths/profiles/moriartyj.html
Consult the schedule of upcoming seminars: https://sites.google.com/view/finance-seminars/schedule
Please note that this Microsoft Teams link is only in case you are unable to join the seminar at the Corvinus University of Budapest, Institute of Finance, E.279.1. However, the meeting will be generally held offline.