Speaker: Igor Cialenco, professor of applied mathematics, Illinois Institute of Technology Title: Coherent Risk Estimators Abstract: We develop a statistical framework for risk estimation, inspired by...
Speaker: Tomasz R. Bielecki, professor of applied mathematics, Illinois InstituteTech Title: Functional Laws of Large Numbers for Marked Hawkes Processes and Compound Marked Hawkes Processes Abstract...
Speaker: Guillermo Alonso Alvaerz, postdoctoral assistant professor, University of Michigan) Title: Contracting a Crowd of Heterogeneous Agents Abstract: We study a principal-agent model involving a...
Speaker: Wilhelm Stannat, professor of mathematics, Technische Universität Berlin, Germany Title: The Lions Derivative in Infinite Dimensions Abstract: We present a new interpretation of the Lions...
Speaker: Jianfeng Zhang, professor of mathematics, University of Southern California Title: Some New Perspectives on Kyle-Back Insider Trading Problems Abstract: A Kyle-Back model consists of three...
Speaker: Lane Chun Yeung, assistant professor of applied mathematics, Illinois Institute of Technology Title: Large-Scale Limits of Interacting Particle Systems Abstract: Interacting particle systems...
Speaker: Andrzej Ruszczyński, Board of Governors Professor of business, Rutgers University Title: A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization Abstract: We...
Speaker Łukasz Stettner, Department of Probability Theory and Mathematics of Finance, Institute of Mathematics, Polish Academy of Sciences Title: On Several Time Inconsistent Stochastic Control...
Speakers: Pavel Kriz and Petr Coupek, Department of Mathematics, Charles University, Prague, Czech Republic Title: Rosenblatt Process - Parameter Estimation and Singularity of Laws Abstract: The...
Speaker: Monique Jeanblanc, professor of mathematics, Université d'Évry Val d'Essonne, France Title: TBA Abstract: TBA Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar
