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Lecture on "From Azema Supermartingales of Finite Honest Times to Optional Semimartingales of Class-(Sigma)"
DateandTime: 2018-08-23 14:57:12

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

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