Seminar series
Date
Thu, 29 Nov 2012
Time
13:00 -
15:00
Location
DH 1st floor SR
Speaker
Martin Klimmek
Our starting point is a recent characterisation of one-dimensional, time-homogeneous diffusion in terms of its distribution at an exponential time. The structure of this characterisation leads naturally to the idea of measuring `how far' a diffusion is away from being a martingale diffusion in terms of expected local time at the starting point. This work in progress has a connection to finance and to
a Skorokhod embedding.