Speaker: Mihai Sirbu, University of Texas at Austin Title: On the Analyticity of the Value Function in Optimal Investment and Stochastically Dominant Markets Abstract: We study the analyticity of the...
Speaker: Kim Weston, Rutgers University Title: Equilibrium Existence in a Limited Participation Economy Abstract: A limited participation economy models the real-world phenomenon that some investors...
Speaker: Yu-Jui Huang, Colorado University Title: GANs as Gradient Flows that Converge Abstract: In this talk, we will show that the unsupervised learning problem can be solved by gradient descent in...
Speaker: Randolf Altmeyer, Cambridge University Title: Statistical Inference for SPDEs Applied to an Example in Cell Biology Abstract: In this talk we propose an extension of a classical reaction...
Speaker: Sam Cohen, Mathematical Institute at Oxford University Title: Gradient Based Estimation of Linear Hawkes Processes Abstract: Linear multivariate Hawkes processes (MHP) are a fundamental class...
Speaker: Ludovic Tangpi, Princeton University Title: Optimal Investment in a Large Population of Competitive and Heterogeneous Agents Abstract: We consider a large crowd of exponential utility...
Speaker: Tyrone Duncan, University of Kansas Title: Some Properties and Applications of Rosenblatt Processes Abstract: Rosenblatt processes are a family of continuous, non-Gaussian processes that are...
Speaker: Yuan Yin, Illinois Institute of Technology Title: Consistency of MLE for partially observed diffusions: application to market microstructure modeling Description: In this talk, I will present...
Speaker: William Hammersley, 3IA, Université Côte D'Azur Title: Rearranged Stochastic Heat Equation Abstract: The ideas presented in this talk are motivated by the desire to regularise by noise...
Speaker: Andreas Søjmark, London School of Economics and Political Science Title: Dynamic default contagion in heterogeneous interbank systems Abstract: In this talk, I will propose a dynamic default...
