28-31 août 2018
Angers - France
Fuseau horaire Europe/Paris

Infinite dimensional polynomial processes

29 août 2018 à 11:50
30m
Angers - France

Angers - France

Orateur

Christa Cuchiero (University of Vienna)

Description

Motivated from high and infinite dimensional problems in mathematical finance, we consider infinite dimensional polynomial processes taking values in certain space of measures or functions. We have two concrete applications in mind: first, modeling high or even potentially infinite dimensional financial markets in a tractable and robust way, and second analyzing stochastic Volterra processes, which recently gained popularity through rough volatility models and ambit processes. The first question leads to probability measure valued polynomial diffusions and the second one to Markovian lifts of polynomial Volterra processes. For both cases we provide existence results and a moment formula.

Documents de présentation

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