de Finetti Risk Seminars / Christa Cuchiero 21 dicembre 2017
We introduce polynomial diffusions taking values in the space of probability measures on a locally compact Polish space, generalizing the well-known Fleming-Viot process.
We provide a representation of the corresponding extended generators, and prove well-posedness of the associated martingale problems. In particular, we obtain uniqueness by establishing a formula for the conditional moments of the solution, which in the finite-dimensional case reduces to a matrix exponential.
The talk is based on joint work with Martin Larsson and Sara Svaluto Ferro.
The seminar will be held on Thursday, December 21, at 17.00,
Aula di rappresentanza, Dept. of Mathematics, Milano
University, Via C. Saldini 50, Milano.
Prof. Marco Frittelli (Univ. degli Studi di Milano)
Prof. Fabio Maccheroni (Univ. Bocconi)
Prof. Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca)
Dott. Marco Maggis (Univ. degli Studi di Milano)