BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:On symbols and uniqueness of polynomial processes - an example
DTSTART:20140617T120000
DTEND:20140617T130000
DTSTAMP:20260506T144121Z
UID:c00e5a14adb4a4ab226936a441e554207967f0abb55b32f5de6ffb88
CATEGORIES:Conferences - Seminars
DESCRIPTION:Paul KRÜHNER (University of Oslo)\nPolynomial processes are i
 n principle a generalisation of affine processes. Both these process types
  are used in financial modelling. The class of polynomial processes includ
 es - unlike affine processes - the geometric Brownian motion and the Dunkl
  process. The Markovian characteristics of polynomial processes has to sat
 isfy certain polynomial conditions and all power moments of polynomial pro
 cesses do exists and can be computed in closed form from its Markovian cha
 racteristics. In this talk we present an example of two polynomial process
 es on the real line which are different in law but do have the same Markov
 ian characteristics. In particular\, even though the Markovian characteris
 tics of a polynomial process does determine all power moments it does not 
 determine its law. Subsequently\, we will discuss the symbol - the time de
 rivative of the characteristic function at time zero - and second order po
 lynomial processes. This class includes all polynomial processes with cont
 inuous sample paths. Finally\, we do investigate a new semi-Fourier based 
 approach which allows to show that some second order processes are determi
 ned by their Markovian characteristics. This talk is based on joint work w
 ith Prof. Jan Kallsen.
LOCATION:UNIL\, Extranef\, room 125 https://planete.unil.ch/plan/?local=EX
 T-125
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR