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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
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DTSTART:20260308T080000
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DTSTART:20261101T070000
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DTSTART;TZID=America/Chicago:20260501T140000
DTEND;TZID=America/Chicago:20260501T150000
DTSTAMP:20260414T011338
CREATED:20251229T180758Z
LAST-MODIFIED:20251229T180758Z
UID:2595-1777644000-1777647600@www.math.ttu.edu
SUMMARY:Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
DESCRIPTION:Speaker: Prof. Karen Grigorian\, Department of Statistics and Applied Probability\, UC Santa Barbara \nAbstract: We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in the context of partial information and partially observable financial markets: (i) convergence of reduced-information market price processes to the true price process under an increasing information flow; (ii) a specific mechanism of shrinking biases under increasing information flows; (iii) optimal aggregation of expert opinions by a trader seeking a positive alpha. All these problems are studied by means of (conditional) McKean-Vlasov-type SDEs\, Wasserstein barycenters\, KL divergence and relevant tools from convex optimization\, optimal control and nonlinear filtering. We supply the theoretical results in (i)-(iii) with concrete simulations demonstrating how the proposed models can be applied in practice to model financial markets under information constraints and the arbitrage-seeking behavior of traders with differential beliefs.
URL:https://www.math.ttu.edu/mathematicalfinance/event/differential-beliefs-in-financial-markets-under-information-constraints-a-modeling-perspective/
LOCATION:via Zoom
CATEGORIES:Spring 2026
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