The  Weizmann  Institute  of  Science
                  Faculty of Mathematics and Computer Science
 
                 Mathematical Analysis and Applications Seminar
 
                     Lecture Hall, Room 1, Ziskind Building
                           on Tuesday, June 28, 2011
                                  11:00 - noon
 
                                  Yakar Kannai
 
                                 will speak on
 
                      Is (quasi)-analytic function theory
                         related to financial markets?
 
Abstract:
It is well known that time analyticity of solutions of parabolic differential
equations plays a crucial role in demonstrating dynamic completeness of
financial markets at equilibrium, making pricing of derivatives possible. It is
known that global conditions are required in order to obtain uniqueness and
time analyticity for Cauchy problem, even for the standard heat equation.
Observe that what is really relevant is quasi-analyticity. We obtain
time-quasianalyticity for parabolic equations with quasi-analytic coefficients,
with sufficiently general growth conditions to cover standard financial
applications (jointly with R. Raimondo).
 
            Mathematical Analysis and Applications Seminar Web Page:
               <http://www.wisdom.weizmann.ac.il/~vered/analsem.html>
 
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Technion Math Net-2 (TECHMATH2)
Editor: Michael Cwikel   <techm@math.technion.ac.il> 
Announcement from: Diana Mandelik   <diana.mandelik@weizmann.ac.il>