XVII Workshop on Quantitative Finance -- Session on MATHEMATICAL FINANCE II (Sala Azzurra)
speaker: Peter Tankov (Université Denis Diderot, Paris)
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Azzurra
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communication: Asymptotic Lower Bounds for Optimal Tracking
speaker: Jiatu Caispeaker: Peter Tankov (Université Denis Diderot, Paris)
abstract: We consider the problem of tracking a target whose dynamics is modeled by a continuous It̄o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds for this problem, depending on the cost structure. These lower bounds can be related to the timeaverage control of Brownian motion, which is characterized as a deterministic linear programming problem. A comprehensive list of examples with explicit expressions for the lower bounds is provided.
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Azzurra
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