Mathematical Finance Seminar
Date
Time
17:15
Location
TUB; MA02
Benjamin Jourdain (Ecole des Ponts ParisTech)

Convexity propagation and convex ordering of one-dimensional stochastic differential equations

We consider driftless one-dimensional stochastic differential equations. We first recall how they propagate convexity at the level of single marginals. We show that some spatial convexity of the diffusion coefficient is needed to obtain more general convexity propagation and obtain functional convexity propagation under a slight reinforcement of this necessary condition. Such conditions are not needed for directional convexity. This is a joint work with Gilles Pages.