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2017-18


  Workshop on Stochastic Optimal Control and its Applications (all talks in A1.01)
26.07.2018  
10:30-11:15 Tianyang Nie (Shandong)
  Arbitrage-free Pricing of American Options and Game Options in Nonlinear Market Models
11:15-12:00 Mingshang Hu (Shandong)
  Stochastic global maximum principle for optimization with recursive utilities
14:00-14:45 Jingtao Shi (Shandong)
  Connection between MP and DPP for Stochastic Recursive Optimal Control Problems
14:45-15:30 Falei Wang (Shandong)
  Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
27.07.2018  
15:00-16:00 Shige Peng (Shandong)
  Real data analysis by nonlinear expectation theory


Term 3  
04.05.2018 11am Hao Xing (LSE)
  Optimal contracting with unobservable managerial hedging
04.05.2018 2pm Sebastian Herrmann (Michigan)
  Inventory Management for High-Frequency Trading with Imperfect Competition
11.05.2018 Thaleia Zariphopoulou (Austin)
  Mean-field and n-agent games for optimal investment under relative performance criteria
25.05.2018 Florian Stebegg (Columbia)
  Strong Duality and Relaxations in Constrained Transport
15.06.2018 Peter Austing (Citadel)
  Model-free Valuation of Barrier Options
29.06.2018 Cosimo Andrea-Munari (Zürich)
  Existence, uniqueness and stability of optimal portfolios of eligible assets
Term 2  
12.01.2018 Ying Hu (Rennes)
  Multidimensional (Backward) Stochastic Differential Equations with Constraints on Law
19.01.2018 Dmitrii Lisovskii (Moscow State)
  Sequential Problems for a Brownian Bridge
02.02.2018 Peiran Jiao (Maastricht)
  Signal Processing on Social Media: Theory and Evidence from Financial Markets
09.02.2018 Samuel Drapeau (Shanghai Jiao Tong)
  Computational Aspects of Robust Optimized Certainty Equivalent
09.03.2018 Sören Christensen (Hamburg)
  Non-Smooth Verification for Impulse Control Problems
16.03.2018 Dörte Kreher (HU Berlin)
  First and second order approximations for a Markovian limit order book model
Term 1  
27.10.2017 Andreea Minca (Cornell)
  Systemic Risk and Central Clearing Counterparty Design
17.11.2017 Michalis Anthropelos (Piraeus)
  Equilibrium Transactions with large investors and indifferent market makers
24.11.2017 Yaroslav Melnyk (EPFL)
  cancelled
01.12.2017 Samuel Cohen (Oxford)
  Uncertainty in Kalman-Bucy Filtering
08.12.2017 Yiqing Lin (École Polytechnique)
  Second-order Backward SDEs with Random Terminal Time


For further information, please contact the seminar organiser Martin Herdegen.