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SUMMARY:On weak existence and pathwise uniqueness of skew reflected Square
 d Bessel and CIR processes and some applications to finance 
DTSTART:20120502T101500
DTEND:20120502T111500
DTSTAMP:20260928T194116Z
UID:a9e14135425edeea97852458573f0805c81ee50c7bde2df0172c3977
CATEGORIES:Conferences - Seminars
DESCRIPTION:Gerald Trutnau\nWe show weak existence and pathwise uniqueness
  of squared Bessel and CIR processes that are perturbed by a constant mult
 iple of their local times on a time dependent curve. The results are based
  on published work of Trutnau and Russo in SPA (2010\, 2011)\, and JFA (20
 05). Additionally\, we shall discuss special cases of the skew reflected s
 quared Bessel process and some applications to weighted Asian options and 
 perpetuities due to Decamps\, Goovaerts\, and Shoutens (Journal of Computa
 tional and Applied Mathematics 186 (2006) 130–147).
LOCATION:AAC006 http://plan.epfl.ch/?zoom=20&recenter_y=5864224.42038&rece
 nter_x=730672.24955&layerNodes=fonds\,batiments\,labels\,information\,park
 ings_publics\,arrets_metro&floor=0&q=AAC006
STATUS:CONFIRMED
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