Speaker: Tomasz Bielecki, Illinois Institute of Technology Title: On Function of Evolution of Distribution for Time Homogeneous Markov Processes. Abstract: A study of time homogeneous, real valued...
Speaker: Bin Zou, University of Connecticut Title: Stackelberg Reinsurance Games: Introduction, Equilibrium, and Structure. Abstract: The first part of the talk introduces Stackelberg reinsurance...
Speaker: Jiaxuan Ye, Illinois Institute of Technology. Title: Convergence of the equilibrium measure for the LQG Mean Field Game with a Common Noise. Abstract: The convergence rate of equilibrium...
Speaker: Marcin Pitera, Jagiellonian University Title: Discrete-Time Risk Sensitive Portfolio Optimization with Proportional Transaction Costs Abstract: In this talk we discuss a discrete-time risk...
Speaker: Mihai Sirbu, University of Texas at Austin Title: On the Analyticity of the Value Function in Optimal Investment and Stochastically Dominant Markets Abstract: We study the analyticity of the...
Speaker: Kim Weston, Rutgers University Title: Equilibrium Existence in a Limited Participation Economy Abstract: A limited participation economy models the real-world phenomenon that some investors...
Speaker: Yu-Jui Huang, Colorado University Title: GANs as Gradient Flows that Converge Abstract: In this talk, we will show that the unsupervised learning problem can be solved by gradient descent in...
Speaker: Randolf Altmeyer, Cambridge University Title: Statistical Inference for SPDEs Applied to an Example in Cell Biology Abstract: In this talk we propose an extension of a classical reaction...
Speaker: Sam Cohen, Mathematical Institute at Oxford University Title: Gradient Based Estimation of Linear Hawkes Processes Abstract: Linear multivariate Hawkes processes (MHP) are a fundamental class...
Speaker: Ludovic Tangpi, Princeton University Title: Optimal Investment in a Large Population of Competitive and Heterogeneous Agents Abstract: We consider a large crowd of exponential utility...
