Birs- 18w5080: Stochastic Analysis and its Applications
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Title: Diffusion transformations, Black-Scholes equation and optimal stopping
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Title: Convex duality in nonlinear optimal transport
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Title: Convergence to the Mean Field Game Limit: A Case Study
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Title: Large Deviations for McKean Vlasov Equations and Importance Sampling
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Title: Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
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Title: Markovian representations of stochastic Volterra processes
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Title: Optimal investment and consumption with labor income or liability streams
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Title: Optimal make-take fees for market making regulation
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Title: Incomplete Equilibrium with Stochastic Interest Rates
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Title: Equilibrium with Heterogeneous Information
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Title: Optimal investment and derivative demand and pricing under price impact
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Title: Particles interacting through their hitting times: neuron firing, supercooling and systemic risk
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Title: An Infinite-dimensional McKean-Vlasov Stochastic Equation
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Title: Optimal investment in an endogenous price impact model
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Title: Pricing and Hedging in rough volatility models
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Title: Martingale Benamou-Brenier: a probabilistic perspective
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Title: Various formulations of martingale optimal transport problem in multi dimension
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Title: Computational Methods for Martingale Optimal Transport problems
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Title: Weak approximation by adapted process
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Title: On the partial hedging of American options
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Link:http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805161315-TrevinoAguilar.html