Main Speakers
Please click on the title to open the abstract.
- Amel Bentata, Markovian Projection of Stochastic Processes
- Rama Cont, Functional Kolmogorov equations
- Boualem Djehiche, A characterization of subperfect Nash equilibria and application to portfolio choice
- Diogo Gomes, Variational and quasi-variational mean-field games
- Dmitry Kramkov, Backward martingale representation and the existence of a complete equilibrium
- Michael Mania, Utility Maximization and Hedging in Incomplete Markets and related Backward Stochastic PDEs
- Peter Markowich, On PDE Models for (some) Socio-Economic Problems
- Aleksandar Mijatović, Coupling and tracking of regime-switching martingales
- Andrea Pascucci, Adjoint expansions in local Levy models
- Huyên Pham (Cancelled)
- Camelia Pop, Degenerate-parabolic partial differential equations with unbounded coefficients, martingale problems, and a mimicking theorem for Ito processes
- Walter Schachermayer, Portfolio Optimisation under Transaction Costs
- Halil Mete Soner, Homogenization and asymptotics with small transaction costs
- Josef Teichmann, An SPDE governing the term structure of option prices
- Nizar Touzi (Cancelled)
- Thaleia Zariphopoulou (Cancelled)
- Jorge Zubelli, Calibration of Stochastic Volatility Models by Convex Regularization
