Ergodic BSDE representation of forward performance processes
主 题: Ergodic BSDE representation of forward performance processes
报告人: 梁歌春 (Department of Mathematics, King s College London)
时 间: 2016-04-15 15:30-17:00
地 点: 北京大学理科一号楼 1560室
Forward performance processes were introduced by Musiela and Zariphopoulou, which complement the classical expected utility paradigm, where the utility is a deterministic function chosen at maturity, and there is little flexibility to incorporate updating of risk preferences, rolling horizons, learning and other realistic "forward in nature" features. Forward performance processes alleviate these shortcomings and offer a construction of a genuinely dynamic mechanism for evaluating the performance of investment strategies as the market evolves. In this talk, we show how to represent forward performance processes in terms of ergodic BSDE, and their connection with ergodic stochastic control. Gechun Liang 2013- now Lecturer in Financial Mathematics at Department of Mathematics, King's College London 2010 to 2013 Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance 2011 D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute, Oxford University, under the supervision of Terry Lyons and Zhongmin Qian
