2020 October

Itô’s formula for flow of measures on semimartingales

Speaker: Xiaoli Wei from UC Berkeley Time: 11/05/2020, 2:00pm -2:50pm Zoom: 992 7853 8762 Abstract: We state Itô’s formula along a flow of probability measures associated with general semimartingales. This extends recent existing results for flow of measures on Itô processes. Our approach is to first prove Itô’s formula for cylindrical polynomials and then use function […]

Sharing Profits in the Sharing Economy

Speaker: Gu Wang from WPI Time: 11/19/2020, 2:00 pm -2:50pm Zoom:  992 7853 8762 Abstract: A monopolist platform (the principal) shares profits with a population of affiliates (the agents), heterogeneous in skill, by offering them a common nonlinear contract contingent on individual output. The principal cannot discriminate across individual skill, but knows its distribution and aims […]

 A General Method for Valuation of Drawdown Risk under Markov Models

Speaker: Lingfei Li from Chinese University of Hong Kong Time: 10/8/2020, 9am-9:50am Abstract: We develop a novel algorithm for the analysis of drawdown in general one-dimensional Markovian models. We compute the Laplace transform of the first passage time of the drawdown process based on continuous time Markov chain (CTMC) approximation and numerically invert the Laplace […]