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PRODID:-//Columba Systems Ltd//NONSGML CPNG/SpringViewer/ICal Output/3.3-
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CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20231026T094859Z
DTSTART:20231025T140000Z
DTEND:20231025T150000Z
SUMMARY:Jose Pedraza Ramirez - Optimal Stopping for Exponential Lévy Mode
ls with Weighted Discounting
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}s25h-lnx0mp
tp-630kc4
DESCRIPTION:Jose Pedraza Ramirez (University of Manchester) will speak at
the Probability seminar. (in-person)\n\nIn this talk\, we consider an o
ptimal stopping problem with weighted discounting\, and the state proces
s is modelled by a general exponential Lévy process. Due to the time inc
onsistency\, we provide a new martingale method based on a verification
theorem for the equilibrium stopping strategies. As an application\, we
generalise an investment problem with non-exponential discounting studie
d by Grenadier and Wang (2007) and Ebert et al. (2020) to Lévy models. C
losed-form equilibrium stopping strategies are derived\, which are close
ly related to the running maximum of the state process. The impacts of d
iscounting preferences on the equilibrium stopping strategies are examin
ed analytically.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Max Newman Room G.107\, Alan Turing Building\, Manchester
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