Speaker |
Steffen Grunewalder |
|---|---|
Affiliation |
UCL |
Date |
Friday, 09 November 2012 |
Time |
12:30-14:00 |
Location |
Zoom |
Link |
Cruciform B404 - LT2 |
Event series |
Jump Trading/ELLIS CSML Seminar Series |
Abstract |
I will talk about estimates of conditional expectations and their application to control problems in discrete time and space. I will show empirical performance of the approach and will sketch a proof of convergence to the best possible strategy. If time permits, I will discuss the discrete time and continuous space setting and show how the proof can be extended to this case. |
Biography |