第14回デリバティブ部会セミナー

投稿日: 2015/04/14 8:36:49

日時：2015年5月22日(金曜) 19:00- 20:00

場所：立命館大学東京キャンパス（サピアタワー8F )

講師：Sergey Nadtochiy氏(University of Michigan)

講演タイトル：Weak Reflection Principle for Markov processes

講演概要:The classical Reflection Principle allows one to express the joint distribution of a Brownian

motion and its running maximum through the distribution of the process itself. It relies on the

specific symmetry and continuity properties of a Brownian motion and, therefore, cannot be directly

applied to an arbitrary Markov process. I will show that, in fact, there exists a weak formulation of this

method that allows to obtain similar results for Markov processes that do not posses any strong symmetry.

I will describe the general Weak Reflection Principle and will prove its validity for diffusions and

L´evy processes. I will also demonstrate the applications of this technique in Finance, Computational

Methods, and Inverse Problems.