Monday, September 27 at 2:00pm to 3:00pm
Umut Cetin, London School of Economics, UK
Abstract: I will give an overview of existing (and some new) results on the Kyle-Back model of financial
equilibrium in continuous time and its connection with the static and dynamic bridges of Markov processes, PDEs and stochastic filtering. Both risk neutral and risk averse market makers will be considered and some open problems will be discussed.
Meeting ID: 999 8732 2358