Motivated by the problem of calibrating linear pricing rules to the market prices of Asian options, we provide a new weak uniqueness result for degenerate diffusions. In particular, we consider path-dependent stochastic differential equations where the diffusion coefficient is a function of both the current location of the process and the running integral of the process, and we show that uniqueness holds for continuous, strictly positive-definite diffusion coefficients. These results combine tools from the theory of singular integrals on Lie groups with the localization machinery of Stroock and Varadhan.
Speaker: Gerard Brunick, University of Texas at Austin
Slides: (TBA)
Event Details
A weak uniqueness result for degenerate diffusions
- Event Date: November 17, 2010
- Event End Date: November 17, 2010
- Event Start Time: 10:30 AM
- Event End Time: 11:30 AM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Gerard Brunick, University of Texas at Austin