Speaker: Li Libo, The University of New South Wales, Australia
Date: August 24, 2018
Time: 10:30 a.m.-11:30 a.m.
Location: Room B1248, Zhixin Building, Central Campus
Sponsor: the School of Mathematics
Abstract: Given a finite honest time, we derive representations for the additive and multiplicative
decomposition of its Azema supermartingale in terms of optional supermartingales and its running supremum. We then extend the notion of semimartingales of class-(Sigma) to optional semimartingales with jumps in its finite variation part, allowing one to establish formulas similar to the Madan-Roynette-Yor option pricing formulas for larger class of processes. Finally, we introduce the optional multiplicative systems associated with positive submartingales and apply them to construct random times with given Azema supermartingale.
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Edited by: Xie Tingting