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Mathematical Finance

Transform Analysis for Markov Processes and its Applications in Finance

Chihoon Lee: Stevens Institute of Technology

Location:  Hill 705
Date & time: Tuesday, 21 February 2017 at 11:45AM - 11:45AM

We present a transform analysis of one-dimensional Markov processes through their infinitestimal generators. More precisely, we characterize the joint double (Laplace) transforms of additive functionals of Markov processes and the terminal values, which extends the work of Cai et al. (2015) computing Asian options. We also establish a simple duality relationship between continuous positive additive functionals of processes and their right inverses. Through this duality, we obtain the double transforms of inverses of additive functionals of Markov processes.

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Department of Mathematics

Department of Mathematics
Rutgers University
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