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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)
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.