BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Department of Economics | IP Paris - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Department of Economics | IP Paris
X-ORIGINAL-URL:https://econ.ip-paris.fr
X-WR-CALDESC:Events for Department of Economics | IP Paris
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20250330T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20251026T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20251218T100000
DTEND;TZID=Europe/Helsinki:20251218T230000
DTSTAMP:20260410T115316
CREATED:20251215T085938Z
LAST-MODIFIED:20251215T090405Z
UID:15951-1766052000-1766098800@econ.ip-paris.fr
SUMMARY:Xialou TAN (CUHK) "Bank-El Karoui's representation of stochastic processes and its applications in the exit contract problems"
DESCRIPTION:Mathematical Finance\nTime: 10.00 am\nDate: 18th of December 2025\nRoom 3001 \nXialou TAN (CUHK) “Bank-El Karoui’s representation of stochastic processes and its applications in the exit contract problems” \nAbstract: We first recall Bank-El Karoui’s representation theorem for stochastic processes and then provide a mean-field extension of the theorem. Next\, we study an exit contract optimization problem\, where the principal provides a universal exit contract to (finitely or infinitely) many heterogeneous agents. Under the universal exit contract\, the agents may have different optimal exit times. The problem consists in finding the optimal contract from the principal’s point of view. Under a technical monotone condition\, the exit contract problem can be solved by the representation theorems. Finally\, we provide some more concrete applications of the theory in the compensation problems of the electricity/energy market. \nOrganizers:  Roxanna DUMITRESCU – Jean-François CHASSAGNEUX \n  \n
URL:https://econ.ip-paris.fr/event/xialou-tan-cuhk-bank-el-karouis-representation-of-stochastic-processes-and-its-applications-in-the-exit-contract-problems/
CATEGORIES:Finance-Insurance,Mathematical Finance,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR