Fudan-Warwick workshop
| Fudan-Warwick Workshop on Financial Mathematics and Stochastic Analysis | |
| 01.11.2018 | MB2.24, Mathematical Sciences Building |
| 9:30-10:30 | Shanjian Tang (Fudan University) |
| Approximation of Backward Stochastic Partial Differential Equations by a Splitting-up Method | |
| 10:30-10:50 | Haodong Sun (Warwick University) |
| Dynkin games with Poisson random intervention times | |
| 11:00-11:50 | Qi Zhang (Fudan University) |
| Robust Consumption Portfolio Optimization with Stochastic Differential Utility | |
| 14:00-14:50 | Ying Hu (Université de Rennes 1 and Fudan University) |
| Ergodic BSDEs and Large time behaviour of PDEs: Multiplicative noise case | |
| 14:50-15:40 | Vicky Henderson (Warwick University) |
| Cautious Stochastic Choice, Optimal Stopping and Deliberate Randomization | |
| 02.11.2018 | MB2.23, Mathematical Sciences Building |
| 9:30-10:20 | Saul Jacka (Warwick University) |
| Multi-currency reserving for coherent risk measures | |
| 10:20-10:40 | Dominykas Norgilas (Warwick University) |
| tba | |
| 10:50-11:40 | Jing Zhang (Fudan University) |
| Quasilinear Stochastic PDEs with two obstacles: Probabilistic approach | |
| 11:40-12:00 | Shuo Huang (Warwick University) |
| An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians | |
For further information, please contact the workshop organiser Gechun LIANG.