Oct
19
On Maximal Markovian Couplings
Event Topic Graduate Student
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Oct
10
Bounds and comparisons of quasi-Monte Carlo methods in option pricing
Description Complex option pricing problems often require some form of high-dimensional numerical integration. Monte Carlo (MC) methods are often used in these cases to avoid problems of...
Oct
5
Distribution and White Noise
Event Topic Graduate Student
Oct
3
Eigenvalue Problems in Nanoscale Material Modeling
SpeakerHong ZhangArgonne National Laboratoryhttp://www.mcs.anl.gov/~hzhang/ Description Together with a group of material scientist, we intend to calculate the atomic and electronic structure of...
Sep
30
Weak Solutions for Forward-Backward SDEs and Their Uniqueness
Description Backward stochastic differential equation (BSDE) and its generalized form, Forward-backward stochastic differential equation (FBSDE), have become a ubiquitous tool in mathematical finance...
Sep
28
Transformation of Levy characteristics under initial expansion of filtrations
Event Topic Graduate Student
Sep
26
Levy modelling of defaultable bonds
Description A market with defaultable bonds modelled by equations with L\'evy noise will be considered during the talk. The main aim is to derive conditions under which the market with defaultable...
Sep
21
Stable Manifold for SDE in mean-square sense
Event Topic Graduate Student
Sep
19
Stochastic Analysis in Infinitely Dimensional Spaces and quasi-invariance of Wiener measures
Description We will use the quasi-invariance problem of Wiener measures as an example to explain the special difficulties of analysis in infinite dimensional spaces that are not present in finite...
Sep
15
Self-Organization of Microtubules and Molecular Motors
Description One of the central questions in biology concerns the formation of complex, highly organized microscopic structures from initially disordered states. Complex ordered structures are...