[ugrads] Math Finance, Stochastic Analysis and Machine Learning Seminar: Next session on 9.11

Matthew Dixon mdixon7 at stuart.iit.edu
Sat Sep 8 15:14:46 CDT 2018

Hi All,

Please join us for our next math finance session which shall take place on

*Title: Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains*

*Speaker: Ziteng Cheng, Illinois Tech*
*Date & Location: Tuesday, September 11th, 11:25-12:40pm, in RE 121*

Abstract: We consider a passage time of an additive functional of a Markov
chain $X$. It is of interest to find the joint distribution of this passage
time and $X$ evaluated at this passage time.  Barlow et al. (1980) showed
that, when $X$ is a time-homogeneous Markov chain and the additive
functional is of a specific type, the Laplace transform of the joint
distribution can be obtained by solving a certain matrix equation. Such
result is called Wiener-Hopf factorization for time homogeneous Markov
chains. We generalize the previous result to the case of time-inhomogeneous
Markov chains and the corresponding Wiener-Hopf factorization is given in
terms of an operator equation. This is joint work with Tomasz R. Bielecki,
Igor Cialenco and Ruoting Gong.

Best regards,

Matthew Dixon, Ph.D., FRM
Assistant Professor
Department of Applied Math
Illinois Institute of Technology
W 32nd St.
10 S Wabash Ave
Chicago IL 60616
Homepage <http://mypages.iit.edu/~mdixon7/>
LinkedIn <https://www.linkedin.com/in/mfrdixon>
ResearchGate <https://www.researchgate.net/profile/Matthew_Dixon>
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