Mathematisches Kolloquium

Zusammenfassung: There are two situations, in stochastic models for Finance, where the infinite-dimensional models are used: Large Financial Markets (i. e. markets containing an infinite, countable, set of traded assests) and Bond Markets (where it is conventional to assume the existence of a continuum of traded assets). The usual approach is to model the market as a semimartingale with values in a suitable (Hilbert) space H, and the integrands are taken with values in the dual space H': there are interesting papers by Ekeland-Taflin, Carmona-Tehranchi, Bjork et al. A different approach was introduced by M. De Donno and myself in some recent papers: the talk will expose the main idea of these papers and will compare good properties and drawbacks of both approaches. In particular, it will be shown that this approach can be adapted to the problem of optimal portfolio in a Large Financial Market or in a Bond Market. The talk is addressed also to an audience with a basic knowledge of stochastic processes and stochastic integration.

Alle Interessierten sind hiermit herzlich eingeladen. Eine halbe Stunde vor dem Vortrag gibt es Kaffee und Tee im Sozialraum (Raum 448) im 4. Stock.

Treffpunkt zum Abendessen um 18.00 Uhr wird noch bekannt gegeben.