Events

FRE Special Seminar Series: Goran Peskir

Finance and Risk Engineering
Lecture / Panel
 
Open to the Public
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This event is free, but registration is required for those who do not have an NYU ID.

Goran Peskir

University of Alabama and University of Manchester

Title

The Dubins constants for Walsh's spider process

Abstract

A long-standing open problem of L. E. Dubins seeks to determine the maximal expected range of Walsh's spider process on n edges per root of the expected stopping time. The solution is known for n=1 (1988) and n=2 (2009). In this talk I will present the solution for n>=3.

Bio

Goran Peskir is the Endowed Shelby Distinguished Professor of Operations Management at the University of Alabama (USA) and the Chair in Probability at the University of Manchester (UK). His research interests include Brownian motion, stochastic calculus, Markov processes, optimal stopping, optimal stochastic control, free boundary problems, financial mathematics, and economics.