Events Archive

Dynamic Acceptability Indices

Systemic Risk Description Tao Chen Title: Dynamic Acceptability Indices Mr. Tao Chen will continue to discuss concave distortions in dynamic case and verify each argument in detail. Yu-Sin Chang Title...

Designing Importance Sampling Schemes for Simulating Rare Events in Reflected SDEs and Random Graphs

SpeakerChia Ying LeeUniversity of North Carolina, Chapel Hillhttp://www.dam.brown.edu/people/cylee/ Description Understanding rare events in stochastic systems and random networks is important in...

Change of Kurtosis when implementing importance sampling

Event Topic: Computational Mathematics & Statistics

Nonintrusive Polynomial Chaos on Nested Unstructured Meshes

SpeakerAkil NarayanUniversity of Massachusetts Dartmouthhttp://www.math.umassd.edu/~anarayan/ Description We present a novel method for construction of polynomial interpolation grids on arbitrary...

Algebra, Geometry and Combinatorics for Network Models

The Error Analysis through Dual Net and Walsh Function in Quasi-Monte Carlo Method

Event Topic: Computational Mathematics & Statistics

Statistical Inference for Fractional SDEs and Applications

Deterministic Guaranteed Automatic Numerical Algorithms for Univariate Integration

Event Topic: Computational Mathematics & Statistics

About Equations with Drift and Diffusion

SpeakerLuis SilvestreUniversity of Chicagohttp://www.math.uchicago.edu/~luis/ Description We will discuss the parabolic equation which consists on the heat equation plus a first order term. This term...

Backward Stochastic Differential Equation

Dynamic Acceptability Indices and Risk Measures Description Mariusz Neieweglowski Title: Backward Stochastic Differential Equation Dr. Neieweglowski will start give a presentation about BSDE for...