Mathematical Finance Seminar
Date
Time
16:15
Location
RUB 25; 1.115
Alexandros Saplaouras (Athens)
The Itô Integral for Nonlinear Lévy Processes: Insights into the G-Lévy Framework
Nonlinear Lévy processes, as established within the general framework by A. Neufeld and M. Nutz, offer a versatile foundation without restrictions on the characteristic triplets. Building on this foundational work, we focus specifically on G-Lévy processes, a concept introduced by S. Peng. Adopting Peng's approach, we construct the Itô integral with respect to G-Lévy processes and examine its associated properties. Alongside, we delve into results concerning the uniqueness of fully nonlinear integro-partial differential equations and briefly discuss the technical challenges.