Mathematical Finance

Seminar information archive ~03/28Next seminarFuture seminars 03/29~

Date, time & place Wednesday 17:30 - 19:00 122Room #122 (Graduate School of Math. Sci. Bldg.)

2008/12/03

17:30-19:00   Room #122 (Graduate School of Math. Sci. Bldg.)
Freddy Delaben (ETH)
The structure of dynamic utility functions in a Brownian Filtration

[ Abstract ]
The penalty function for monetary dynamic utility functions
has a special form. They can be seen as potentials. In the Brownian Filtration Rao's theorem permits to give a complete description.