Публична академична лекция На 5 ноември 2024 г., вторник, от 12:00 часа в зала 503 на ИМИ-БАН, в рамките на Семинара на секция ИОВС, ще се проведе публична академична лекция на доц. д-р Асен Чорбаджиев на тема "Statistical inference for branching processes".   Резюме: It is usually expected that the development of branching processes depends on initial condition, law of branching and the method of measurement. However, usually the main problem of data analysis for branching processes is that either many of process' parameters are unknown or that the different stages of process development could not clearly distinguished. This is non-trivial problem and the analytical solutions usually are not available. The alternative approach to find solution for particular problems is also difficult. Constrained by [...]

Поредната сбирка на Националния семинар по стохастика ще се проведе на 13 ноември 2024 г. (сряда) от 15:00 часа в зала 503 на ИМИ - БАН. Доклад на тема Cancellable American options under negative discounting ще изнесе Zbigniew Palmowski (University of Wroclaw). Абстракт. In this talk we consider the McKean stochastic game for a geometric spectrally negative Lévy process of asset price which extends the American put option by introducing the possibility for the writer of the option to cancel the contract, at the expense of paying the intrinsic value plus an extra constant penalty. Additionally, we consider a negative discount rate which produces double continuation regions for writer and holder. This is then different from the scenario when the discount rate is positive which was [...]