- Date : 6 Sep. (Thu.), 11 Sep. (Tue) and 13 Sep. (Thu.)
- Place: W.W. 7th-floor
- Time : 16:30-18:00
- Speaker: Eva Leverbach (Cergy-Pontoise University)
- Title: Dynamic Contract and Discretionary Termination Policy under Loss Aversion
- Abstract:
We discuss the long time behaviour of diffusion processes
(or more general Markov processes). We start by introducing the basic concept of Harris recurrence and establish the link with ergodic theory. We recall classical recurrence conditions from the theory of Markov chains (Doeblin condition, Dobrushin condition, local Doeblin condition). Then we turn to the study of one dimensional diffusions where hitting time moments determine the speed of convergence. We recall Kac’s moments formula for hitting times and caracterize the speed of convergence to equilibrium under Vertennikov’s drift conditions both in the ergodic theorem and for the total variation distance.
In higher dimensional models we show how to use coupling techniques in order to introduce regeneration times that allow to mimick the one dimensional case.
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