Recent studies have extended the theory of affine processes to the stochastic Volterra equati- ons framework. In this talk, I will describe how the theory of polynomial processes extends to the Volterra setting. In particular, I will explain the moment formula and an interesting stochastic invariance result in this context. This is joint work with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari and Sara Svaluto-Ferro.
Polynomial Volterra processes
Geometric properties of some rough curves via dynamical systems: SBR measure, local time and Rademacher chaos
We investigate geometric properties of graphs of Takagi type functions, repre- sented by series based on smooth functions. They are Hölder continuous, and can be embedded into smooth dynamical systems, where their graphs emerge as pull- back attractors. It turns out that occupation measures and Sinai-Bowen-Ruelle (SBR) measures on their stable manifolds are dual by ’time’ reversal.
A suitable version of approximate self-similarity for deterministic functions al- lows us to ’telescope’ small-scale properties from macroscopic ones. As one conse- quence, absolute continuity of the SBR measure is seen to be dual to the existence of local time. The investigation of questions of smoothness both for SBR as for oc- cupation measures surprisingly leads us to the Rademacher version of Malliavin’s calculus, Bernoulli convolutions, and into probabilistic number theory. The link between the rough curves considered and smooth dynamical systems can be gen- eralized in various ways. For instance, Gaussian randomizations of Takagi curves just reproduce the trajectories of Brownian motion. Applications to regularization of singular ODE by rough signals are on our agenda.
Optimal consumption with labor income and borrowing constraints for recursive preferences
In this talk, we present an optimal consumption and investment problem for an investor with liquidity constraints who has isoelastic recursive Epstein-Zin utility preferences and re- ceives a stochastic stream of income. We characterize the optimal consumption strategy as well as the terminal wealth for recursive utility under dynamic liquidity constraints, which pre- vent the investor to borrow against his stochastic future income. Using duality and backward SDE methods in a possibly non-Markovian diffusion model for the financial market, this gives rise to an interplay of singular control and optimal stopping problems. Our analysis extends to more general liquidity constraints. (Joint work with Dirk Becherer and Olivier Menoukeu Pamen)
On two Formulations of McKean–Vlasov Control with Killing
We study a McKean–Vlasov control problem with killing and common noise. The particles in this control model live on the real line and are killed at a positive intensity whenever they are in the negative half-line. Accordingly, the interaction between particles occurs through the subprobability distribution of the living particles. We establish the existence of an optimal semiclosed-loop control that only depends on the particles’ location and not their cumulative intensity. This problem cannot be addressed through classical mimicking arguments, because the particles’ subprobability distribution cannot be reconstructed from their location alone. Instead, we represent optimal controls in terms of the solutions to semilinear BSPDEs and show those solutions do not depend on the intensity variable.
Generalized Front Propagation for Stochastic Spatial Models
Nonlinear Diffusions and their Feller Properties
Motivated by Knightian uncertainty, S. Peng introduced his celebrated G–Brownian motion. Intuitively speaking, it corresponds to a dynamic worst case expectation in a model where volatility is uncertain but postulated to take values in a bounded interval. Natural extensions of the G–Brownian motion are nonlinear diffusions, whose volatility (and drift) takes values in a random set that is allowed to depend on the canonical process in a Markovian way. Nonlinear diffusions satisfy the dynamic programming principle, which entails the semigroup property of a corresponding family of sublinear operators. In this talk, we discuss regularity properties of these semigroups that allow us to relate them to evolution equations. In particular, we explain a novel type of smoothing property and a stochastic representation result for general sublinear semigroups with pointwise generators of Hamilton-Jacobi-Bellman type. Latter also implies a unique characterization theorem for such semigroups.
The talk is based on joint work with Lars Niemann (University of Freiburg).
Numeraire-invariance and the law of one price in mean-variance portfolio selection and quadratic hedging
In classical optimal transport, the contributions of Benamou-Brenier and Mc- Cann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas.
Stretched Brownian motion provides an analogue for the martingale version of this problem. We provide a characterization in terms of gradients of convex functions, similar to the characterization of optimizers in the classical transport problem for quadratic distance cost.
Based on joint work with Julio Backhoff-Veraguas, Walter Schachermayer and Bertram Tschiderer.