数理ファイナンスセミナー
過去の記録 ~09/30|次回の予定|今後の予定 10/01~
開催情報 | 水曜日 17:30~19:00 数理科学研究科棟(駒場) 122号室 |
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担当者 | 伏屋 広隆 |
セミナーURL | http://www.aa.alpha-net.ne.jp/fushiya/financetop.htm |
2008年12月03日(水)
17:30-19:00 数理科学研究科棟(駒場) 122号室
Freddy Delaben 氏 (ETH)
The structure of dynamic utility functions in a Brownian Filtration
Freddy Delaben 氏 (ETH)
The structure of dynamic utility functions in a Brownian Filtration
[ 講演概要 ]
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.
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.