Seminars&Colloquia
- Colloquium: Pathwise Itô's formula and its generalizations
- saarc |
- 2025-03-14 15:57:03|
- 27
- 2025-03-14 15:57:03|
- 일시
- Mar. 25 (Tue.) 16:00 ~17:00
- 장소
- 자연과학동(E6-1) 1401호
- 연사
- 김동한 교수
Title: Pathwise Itô's formula and its generalizations
Abstract: H. Föllmer introduced in 1981 a version of Itô's formula without any probabilistic assumptions. It has been generalized in several aspects, including pathwise Tanaka's formula, high-order, and functional change-of-variable formula. Its drawbacks and a brief application to mathematical finance will also be presented.
Abstract: H. Föllmer introduced in 1981 a version of Itô's formula without any probabilistic assumptions. It has been generalized in several aspects, including pathwise Tanaka's formula, high-order, and functional change-of-variable formula. Its drawbacks and a brief application to mathematical finance will also be presented.
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