Term 3

25.04.2017	Pham: Chapter 4.5	Matthew Zeng
02.05.2017	Pham: Chapter 4.5 (continued)	Matthew Zeng
09.05.2017	Pham: Chapter 4.5 (continued)	Matthew Zeng
16.05.2017	Pham: Chapter 4.6	Kevin Engelbrecht
23.05.2017	No seminar
30.05.2017	Pham: Chapter 4.6 (continued)	Kevin Engelbrecht
06.06.2017	Pham: Chapters 5.1 and 5.2	Jun Maeda
13.06.2017	No seminar
20.06.2017	No seminar
27.06.2017	Pham: Chapter 5.2 (continued)	Dominic Norgilas

Term 2

24.01.2017	Pham: Chapters 4.1 and 4.2	Sebastian Armstrong
31.01.2017	No seminar
07.02.2017	Pham: Chapter 4.3.1	Jonathan Muscat
14.02.2017	Pham: Chapter 4.3.1 (continued)	Jonathan Muscat
21.02.2017	Pham: Chapter 4.3.2	Jun Maeda
28.02.2017	Pham: Chapter 4.3.2 (continued)	Jun Maeda
07.03.2017	Pham: Chapter 4.4	Dominic Norgilas
14.03.2017 (9 - 11 in L5)	Pham: Chapter 4.4 (continued)	Dominic Norgilas

Term 1

Additional talks listed below.

Week 6: Friday 18th November 2016, A1.01 2pm

Chuan Guo, Warwick

Title: Stochastic volatility Markov-functional models​

Week 9: Friday 2nd December 2016, A1.01 2pm

Professor Saul Jacka, Warwick

Title: General Controlled Markov Processes and Optimal Stopping.

This talk will introduce abstract control via the weak (martingale problem) formulation and give two current examples-one involving general Markovian optimal stopping problems.

Week 10: Friday 9nd December 2016, A1.01 2pm

Dominic Norgilas, Warwick

Title: Dual of the Optimal stopping problem

It will be shown that the value function of an optimal stopping problem is equal to the value function of a particular stochastic control problem, where admissible controls are uniformly integrable martingales started at zero. In the Markovian setting, the gain process is of the form (G_t)=(g(X_t)), where X is a Markov process and g a payoff function. Then under an assumption that g belongs to the domain of an infinitesimal (martingale) generator of X we show that the dual can be viewed as a stochastic control problem of controlled Markov processes.