Date/heure
8 février 2018
10:45 - 11:45
Oratrice ou orateur
Laurence Carassus
Catégorie d'évènement Séminaire Probabilités et Statistique
Résumé
We will present some financial and economic problematics arising in discrete-time financial/economic models with a finite time horizon under non-dominated model uncertainty. This means that there exists a set of probability measures representing the agent beliefs and that this set is not dominated by a reference measure.
The technics are based on dynamic programming and measurable selection. We also use analytic sets which display the nice property of being stable by projection or countable unions and intersections but fail to be stable by complementation.