报告题目：E From Azema supermartingales of finite honest times to optionalsemimartingales of class-(Sigma)

报 告 人：Li Libo (The University of New South Wales)

报告时间：2018年8月24日（周五），上午10:30-11:30

报告地点：知新楼B-1248

报告摘要：

Given afinite honest time, we derive representations for the additive andmultiplicative

decompositionof it’s Azema supermartingale in terms of optional supermartingales and its

runningsupremum. We then extend the notion of semimartingales of class-(Sigma) tooptional semimartingales with jumps in its finite variation part, allowing oneto establish formulas similar to the Madan-Roynette-Yor option pricing formulasfor larger class of processes. Finally, we introduce the optionalmultiplicative systems associated with positive submartingales and apply themto construct random times with given Azema supermartingale

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