Ioannis Karatzas, Recent Approaches to Optimal Stopping, with Applications


Oct
03
2006

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  • Speaker: Ioannis Karatzas
  • Host Department: Statistics
  • Date: 10/03/2006
  • Time: 4:00 PM

  • Location: 340 West Hall

  • Description:

    Abstract: The problem of Optimal Stopping is of fundamental importance for sequential analysis, for the detection of signals in a background of noise, and also for pricing American-type options in the modern theory of finance. We shall review in this talk two relatively recent approaches to this problem: the deterministic or “pathwise” approach of Davis & Karatzas (1994), and the “integral representation” approach of Bank & El Karoui (2003). Each of these approaches has its own mathematical and methodological interest, and is almost tailor-made for particular applications. We shall discuss in some detail various aspects of the two approaches. Whether one of them can be obtained directly from the other, remains a tantalizing open question.