Wednesday, May 8, 2019 - 15:00 in V3-201
A general framework for quasisure functional analysis
A talk in the Bielefeld Stochastic Afternoon series by
Marco Maggis from University of Milan
| Abstract: |
Motivated by the economic phenomenon of Knightian uncertainty, working with a measurable structure where a set of probability measures replaces the single reference probability has become a common model assumption in mathematical finance and economic theory. More precisely, this replacement has led to the development of robust finance, and the techniques are often referred to as "quasisure analysis".
We propose a general framework which allows the study of financial and economic models exploiting functional analytical methods. The abstract discussion will be followed through a main significant example, namely the usual volatility uncertainty financial market model, which perfectly fits our construction.
This talk is based on a joint work with F. Liebrich and G. Svindland.
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