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 M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20250313T114154Z
DTSTART:20250326T150000Z
DTEND:20250326T160000Z
SUMMARY:Probability Seminar: Abel Guada Azze - Optimally Stopping a Gauss
 -Markov process with random terminal value
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}d1uv-m87a3z
 96-751fon
DESCRIPTION:Abel Guada Azze (CUNEF Universidad) will speak at the Probabi
 lity seminar.\n\nTitle: Optimally Stopping a Gauss-Markov process with r
 andom terminal value\n\n\nAbstract: Optimal stopping problems seek to id
 entify the "best strategy" for stopping a stochastic process to claim an
  expected reward. Their applications are ubiquitous\, ranging from prici
 ng American-style options in mathematical finance to addressing sequenti
 al hypothesis testing and quickest detection in statistics. Nevertheless
 \, the trade-off between tractability and practical utility of the model
  is particularly acute in these problems\, leaving only a few cases admi
 tting semi-explicit solutions.\nIn this work\, we depart from the classi
 cal assumptions of time-homogeneity and Lipschitz continuity of the coef
 ficients. We characterize the optimal stopping solution for Gauss-Markov
  processes via a Volterra integral equation. Furthermore\, we investigat
 e the solution’s behavior when the terminal values of these processes ar
 e constrained to follow a prescribed distribution\, including the degene
 rate case.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Frank Adams 2\, Alan Turing Building\, Manchester
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