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Appell Integral transforms, martingales, and some optimal stopping.

Le : 09/04/2018 11h00
Par : Elena Boguslavskaya (Brunel University, U.K. )
Lieu : i103
Lien web :
Résumé : Appell integtral transforms are natural generalizations of Appell polynomials, preserving all the nice properties of Appell polynomilals. For example, they are martingales if built on Levy processes. In this talk we will define Appell integral transforms, explore it's properties, and see how those transforms can be used in applications. In particular, we will consider optimal stopping, and show how optimal stopping boundary can be obtained with the help of our transforms. The most remarkable fact is that the boundary is obtained constructively, and not guessed as the usual practice suggested before.