S'authentifier

Second Young researchers meeting on BSDEs, Numerics and Finance

7–9 juil. 2014
Fuseau horaire Europe/Paris

Presentations slides

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  1. 0. Chassagneux J.F. - Numerical Stability of the Euler Scheme for BSDEs
  2. 18. Chaudru de Raynal P.E. - A cubature based algorithm to solve forward and forward-backward stochastic differential equation of McKean-Vlasov type
  3. 22. Cohen S. - Markov Chain BSDEs and risk averse networks
  4. 1. Cosso A. - BSDE Representation for Stochastic Control Problems with Controlled Intensity
  5. 27. Dos Reis G. - Securitization and equilibrium pricing under relative performance concerns
  6. 12. Du K. - On solvability conditions of stochastic Riccati equations
  7. 24. Fedyashov V. - Ergodic BSDEs with Levy noise and time dependence
  8. 6. Garcia Trillos C.A. - Numerical simulation of multi-scale SDEs
  9. 2. Hitaj A. - Are Smart Beta indexes valid for hedge fund portfolio allocation?
  10. 23. Kruse T. - BSDEs with singular terminal condition and applications to optimal trade execution
  11. 7. Labart C. - Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles
  12. 10. Liang G. - Optimal Switching at Poisson Random Intervention Times
  13. 26. Lin Y. - Localization method for non-Lipschitz Stochastic Differential Equations Driven by G-Brownian Motion (GSDEs)
  14. 3. Lionnet A. - Numerical approximation of monotone BSDEs
  15. 19. Madec P.Y. - Probabilistic Approach to Large Time Behaviour of Mild Solutions of HJB Equations in Innite Dimension by a Probabilistic Approach
  16. 8. Mainberger C. - Supersolutions of BSDEs: Minimality, Constraints, Duality
  17. 9. Mastrogiacomo E. - Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
  18. 11. Mihaylov I. - An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs
  19. 14. Moreau L. - Regularity of Constrained BSDEs
  20. 20. Mu R. - Bang-Bang Type Nash Equilibrium Point for Nonzero-sum Stochastic Dierential Game
  21. 13. Nam K. - BSEs, BSDEs, and fixed points
  22. 17. Ragulina O. - Optimal Control by Franchise and Deductible Amounts in the Classical Risk Model
  23. 21. Romo Romero R. - Indierence fee rate for variable annuities
  24. 4. Soumana Hima A. - Quadratic Backward Stochastic Di¤erential Equations Driven by G-Brownian Motion
  25. 5. Steinicke A. - Malliavin dierentiation of random functions with applications to Levy driven BSDEs
  26. 15. Szpruch L. - Tamed Euler schemes for FBSDEs
  27. 25. Tan X. - Martingale Transport, Skorokhod Embedding and Peacocks
  28. 16. Tangpi L. - Robust Duality without Refence Measure