School Seminars and Colloquia

EXIT TIMES FOR SOME ADDITIVE PROCESSES

Stochastic Processes and Financial Mathematics

by Prof Martin Jacobsen, University of Copenhagen


Institution: Mathematics and Statistics Dept
Date: Tue 9th March 2010
Time: 4:15 PM
Location: Room 213, Richard Berry Building

Abstract: The problem studied is the classical one of determining the
 distribution (e.g., the Laplace transform) of the first time a real valued
 stochastic process X crosses below a given level. The technique used,
 which involves 'partial eigenfunctions' (e.g., for the generator of a
 continuous time Markov process), has proven quite effective for handling 
some complicated models. The technique will be illustrated by considering 
random walks in discrete time and some of the new results obtained using 
the partial eigenfunction method will then be mentioned: for these, X 
itself need not be Markov, but there is a second process Y, such that
 (X,Y) is Markov.

For More Information: For further information please contact, Prof Daniel Dufresne at dufresne@unimelb.edu.au or Dr Aihua Xia on: xia@ms.unimelb.edu.au