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Mathematical Finance and Probability Seminars

Transform Analysis for Markov Processes and its Applications in Finance

Tuesday, February 21, 2017 at 11:45am - 12:45pm

Chihoon Lee, Stevens Institute of Technology:  We present a transform analysis of one-dimensional Markov processes through their infinitestimal generators. More precisely, we characterize the joint double (Laplace) transforms of additive functionals of Markov processes and the terminal values, which extends the work of Cai et al. (2015) computing Asian options. We also establish a simple duality relationship between continuous positive additive functionals of processes and their right inverses. Through this duality, we obtain the double transforms of inverses of additive functionals of Markov processes. 
Location   Hill 705

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Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

Email: finmath (at) rci.rutgers.edu
Phone: +1.848.445.3920
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