2016年度

Math-Fi seminar on 20 Oct.

2016.10.14 Fri up
  • Date : 20 Oct. (Thu.) 
  • Place: W.W. 6th-floor, Colloquium Room
  • Time : 16:30-18:00
  • Speaker: Johannes Ruf (LSE) 
  • Title: Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps 
  • Abstract: In the first part of the talk, we characterize the event of convergence of a local supermartingale. In the second part of the talk, we provide a novel proof for the sufficiency of Novikov-Kazamaki type conditions for the martingale property of nonnegative local martingales with jumps. The proof is based on explosion criteria for related processes under a possibly non-equivalent measure. This is joint work with Martin Larsson.

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