About a class of doubly reflected BSDES
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Speaker Damiano Brigo Banca IMI and Bocconi University http://www.damianobrigo.it Description We consider a dynamical model for the loss distribution of a pool of names. The model is based on the...
Description We will use the quasi-invariance problem of Wiener measures as an example to explain the special difficulties of analysis in infinite dimensional spaces that are not present in finite...