Das Institut für Mathematische Wirtschaftsforschung veranstaltet im Rahmen des Bielefeld Stochastic Afternoon regelmäßig Seminare zum Thema Finanzmathematik. Das Programm des aktuellen Semesters finden Sie hier.
Erster Vortragender: Sergio Pulido (École nationale supérieure d'informatique pour l'industrie et l'entreprise)
Titel: Stochastic Volterra Equations in Finance
Abstract: In this presentation, I will provide an overview of several works related to the theory of Stochastic Volterra Equations (SVEs) and their applications in finance. I will discuss the well-posedness and invariance properties of these equations, examine the relevance of incorporating jumps from a modeling perspective, and explore factor approximation methods for control problems such as optimal stopping. Additionally, I will present potential future research directions that can be further developed in these areas.
Zweiter Vortragender: Harto Saarinen (Universität Turku)
Titel: Poisson Constrained Control Problems of Linear Diffusions
Abstract: We study a class of optimal control problems of linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We study expected discounted criterion and expected ergodic criterion. Under our assumptions, we show that the optimal policy is to control downwards above some threshold. Lastly, we connect the problems to classical singular control by letting the intensity of the Poisson process tend to infinity.