Seminars & Colloquia Calendar

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Mathematical Finance and Probability Seminars

PDE Uniqueness for Diffusive Strict Local Martingales

Kasper Larsen- Rutgers University

Location:  Hill 425
Date & time: Tuesday, 10 March 2020 at 11:50AM - 12:50PM

Abstract: For a real-valued diffusive strict local martingale, we prove a uniqueness result for the Cauchy problem for data with at most linear growth. Joint work with Umut Cetin (LSE).

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