Gerard Brunick - UT Austin

Starts: 4:00 pm on Thursday, November 4, 2010
Ends: 5:00 pm on Thursday, November 4, 2010
Location: MCS 149

TITLE: A weak uniqueness result for degenerate diffusions. ABSTRACT: Motivated by the problem of calibrating linear pricing rules to the market prices of Asian options, we provide a new weak uniqueness result for degenerate diffusions. In particular, we consider path-dependent stochastic differential equations where the diffusion coefficient is a function of both the current location of the process and the running integral of the process, and we show that uniqueness holds for continuous, strictly positive definite diffusion coefficients. These results combine tools from the theory of singular integrals on Lie groups with the localization machinery of Stroock and Varadhan.