- Date
- 2016-03-08
- Speaker
- 박형빈
- Dept.
- Worcester Polytechnic Institute
- Room
- 129-307
- Time
- 17:30-19:30
Recently, many authors have argued that the objective measure can be recovered from the risk-neutral measure. Lots of studies have been conducted on recurrent recovery, however, there is only a few number of literature on transient recovery. In this talk, the possibility of transient recovery is discussed with the Martin integral representation as a main tool. We offer economic and financial implications of this representation. It will be shown that the objective measure can be recovered up to a one-parameter family under some circumstances.