Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Variational representations for moments of nonnegative functionals on Wiener and Poisson spaces will be introduced. Such representations are useful in the study of many large deviations problems. In this talk, we will consider several such problems, these include weakly interacting jump diffusions, SPDEs driven by Brownian and Poisson noises, stochastic averaging problems and stochastic flows of diffeomorphisms. This talk is based on joint works with P. Dupuis, V. Maroulas, M. Fischer and J. Chen.

Speaker: Amarjit Budhiraja, University of North Carolina