Speaker: Yuan Yin, Illinois Institute of Technology Title: Convergence of a Branching Particle Filtering Algorithm for Partially Observed Diffusions, with Application in Market Microstructure Modeling...
Speaker: Alain Bensoussan, University of Texas, Dallas Title: Stochastic Control and Limited Commitment Abstract: The theory of investment and growth of firms has been an important source of...
Speaker: Guillermo Alonso Alvarez, Illinois Institute of Technology Title: Optimal Contract Design via Relaxation: Application to the Problem of Brokerage Fees. Abstract: I will present a new approach...
Speaker: Kovacova, Gabriela. Vienna University of Economics and Business. Title: Set-Valued Bellman's Principle: Applications and Computations. Abstract: Dynamic programming, introduced by Richard...
Speaker: Igor Cialenco, Illinois Institute of Technology Title: A power variation approach to statistical analysis of discretely sampled semilinear SPDEs Abstract: Motivated by problems from...
Speaker: Martin Larsson, Carnegie Mellon University Title: Propagation of chaos for maxima of particle systems with mean-field drift interaction. Abstract: We study the asymptotic behavior of...
Speaker: Tomasz Bielecki, Illinois Institute of Technology Title: On Function of Evolution of Distribution for Time Homogeneous Markov Processes. Abstract: A study of time homogeneous, real valued...
Speaker: Bin Zou, University of Connecticut Title: Stackelberg Reinsurance Games: Introduction, Equilibrium, and Structure. Abstract: The first part of the talk introduces Stackelberg reinsurance...
Speaker: Jiaxuan Ye, Illinois Institute of Technology. Title: Convergence of the equilibrium measure for the LQG Mean Field Game with a Common Noise. Abstract: The convergence rate of equilibrium...
Speaker: Marcin Pitera, Jagiellonian University Title: Discrete-Time Risk Sensitive Portfolio Optimization with Proportional Transaction Costs Abstract: In this talk we discuss a discrete-time risk...
