[Probabilidad-Estadistica-Seminario] Seminario de Probabilidad y Estadística

[seminarios en cmat.edu.uy]

Seminario de Probabilidad y Estadística
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Título: "Non-Markovian optimal stopping time problems"

Expositor: Alberto Ohashi (Universidade de Brasilia)

Resumen:
 
In this talk, we present a discretization scheme to solve continuous-time
optimal stopping problems based on fully non-Markovian continuous processes
adapted to the Brownian motion filtration. The approximations satisfy suitable
variational inequalities which allow us to construct near optimal stopping times
and optimal values in full generality. Explicit rates of convergence are
presented for optimal values based on reward functionals of path-dependent SDEs
driven by fractional Brownian motion. If time permits, we also discuss precise
error estimates for the associate Monte Carlo approximation.
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Viernes 23/4 a las 10:30, zoom

Contacto: Alejandro Cholaquidis - acholaquidis en hotmail.com
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https://salavirtual-udelar.zoom.us/j/89466045708 ID de reunión: 894 6604 5708

sin pasword

Canal de youtube:

https://www.youtube.com/channel/UCOPZEOrLSAYPz2qCAL-KqMg/about
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