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08:30
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--- Welcome ---
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09:00
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Some sequential problems for Brownian motion with random drift in statistics and finance.
-
Albert Shiryaev
(Steklov Mathematical Institute)
()
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09:40
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Couplings on Wiener space and a new version of Talagrand’s inequality
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Hans Foellmer
(Humboldt University Berlin)
()
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10:20
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--- Coffee Break ---
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10:50
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The asymptotic expansion of the regular discretization error of Itô integrals
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Masaaki Fukasawa
(Osaka University)
()
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11:20
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Stochastic Stefan-type Problems and Order Book Dynamics
- Dr
Marvin Mueller
(ETH Zurich)
()
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11:50
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Exact spectral asymptotics of fractional processes with applications to inference
- Prof.
Marina Kleptsyna
(Université du Maine)
()
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09:00
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A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility
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Masaaki Kijima
(Tokyo Metropolitan University)
()
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09:40
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Esscher pricing under progressive enlargement of information
- Dr
Tahir Choulli
(UNiversity of Alberta)
()
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10:20
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--- Coffee Break ---
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10:50
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Construction of an aggregate consistent utility, without Pareto optimality
- Ms
Caroline HILLAIRET
(Ensae Paris tech, CREST)
()
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11:20
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On multisided optimal stopping problems for Levy processes
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Elena Boguslavskaya
(Brunel University London)
()
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11:50
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Infinite dimensional polynomial processes
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Christa Cuchiero
(University of Vienna)
()
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08:30
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On Fairness of Systemic Risk Measures
- Prof.
Marco Frittelli
(Milano University)
()
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09:10
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On the geometry of very rough Weierstrass curves: local time, SBR measure, Hausdorff dimension
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Peter Imkeller
(Mathematisches Institut der Humboldt-Universität zu Berlin)
()
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09:50
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Mass-Conserving Stochastic Partial Differential Equations and Related Backward Doubly Stochastic Differential Equations
- Prof.
Qi Zhang
(Fudan University)
()
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10:20
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--- Coffee Break ---
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10:50
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Can old-age provision benefit from recent developments in quantitative finance?
- Dr
Michael Schmutz
(University of Berne)
()
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11:20
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On the conditions on pricing functional and trading strategies in insider trading model
- Dr
Albina Danilova
(LSE)
()
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11:50
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--- Break ---
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09:00
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Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
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Josef Teichmann
(ETH Zurich)
()
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09:40
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Double continuation regions for American and Swing options with negative discount rate in Lévy models
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Zbigniew Palmowski
(Wrocław University of Science and Technology)
()
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10:20
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--- Coffee Break ---
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10:50
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Stochastic control under periodic observation times
- Prof.
Kazutoshi Yamazaki
(Kansai University)
()
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11:20
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On the Entropie Minimal Martingale Measure for Lévy Processes
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Hans-Jürgen Engelbert
(Friedrich Schiller-University of Jena, Institute of Mathematics)
()
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11:50
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On the Ruin Problem with Investment when the Risky Asset is a Semimartingale
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Jerome Spielmann
(Universite d'Angers)
()
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12:20
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--- Lunch ---
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14:00
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Recover Dynamic Utility from Monotonic Characteristic Processes
- Prof.
Nicole El Karoui
()
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14:30
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Lie group analysis of an optimization problem for a portfolio with an illiquid asset
- Prof.
Ljudmila A. Bordag
(University of Applied Sciences Zittau/Gorlitz)
()
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15:00
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Decomposition of random times, application to default times
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Monique Jeanblanc
(université Evry Val d'ESSONNE)
()
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15:30
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--- Coffee Break ---
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16:00
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Entropy and additional utility of a discrete information disclosed progressively in time
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Anna Aksamit
(University of Sydney)
()
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16:30
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Utility maximization for Lévy switching models
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Yuchao Dong
(University of Angers)
()
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17:00
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--- Break ---
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17:10
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The Skorokhod embedding problem and single jump martingales: a connection via change of time
- Prof.
Alexander Gushchin
(Steklov Mathematical Institute)
()
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17:40
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On sets of laws of continuous martingales
- Prof.
Youri Kabanov
(Lomonosov Moscow State University and Université de Bourgogne Franche-Comté)
()
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19:00
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--- Welcome in the Gallery David d'Angers ---
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12:20
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--- Lunch ---
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14:00
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Law of Large Numbers and Central Limit Theorem under Uncertainty of Probability Distributions
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Shige Peng
(Shandong University)
()
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14:40
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Mixed Deterministic and Random Optimal Control of Linear Stochastic Systems with Quadratic Costs
- Prof.
Shanjian Tang
(Fudan University, School of Mathematical Science)
()
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15:20
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--- Coffee Break ---
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15:50
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On discrete Schur-constant vectors, with applications.
- Prof.
Stéphane Loisel
(Université de Lyon 1)
()
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16:20
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Classical and Restricted Impulse Control for the Exchange Rate under Incomplete Knowledge of the Model
- Prof.
Wolfgang Runggaldier
(University of Padova, Italy)
()
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16:50
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Duality for homogeneous optimisation problems
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Michael Tehranchi
(University of Cambridge)
()
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17:20
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--- Break ---
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17:30
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Continuous-Time Constrained Stochastic Linear-Quadratic Control with Financial Applications
- Dr
Xun LI
(HK PolyU)
()
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18:00
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Linear-Quadratic-Gaussian Mixed Games with Input Constraint Involving Major Agent and Heterogeneous Minor Agents
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Jianhui Huang
(Hong kong Polytechnic University)
()
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18:30
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--- Posters session ---
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12:00
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Nonparametric Bayesian volatility estimation
- Prof.
Peter Spreij
(Korteweg-de Vries Institute for Mathematics, Universiteit van Amsterdam)
()
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12:30
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Optimal financing and investment strategies under asymmetric information about collateral value
- Prof.
Takashi Shibata
(Tokyo Metropolitan University)
()
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13:00
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--- Lunch ---
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15:00
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--- Visit of the Castle ---
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20:00
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--- Conference dinner ---
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12:20
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--- Lunch ---
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14:00
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BSDE formulation of combined regular and singular stochastic control problems
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Ying Hu
(University of Rennes 1)
()
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14:30
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Some existence and uniqueness results for obliquely reflected BSDEs
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Adrien Richou
(IMB - Université de Bordeaux)
()
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15:00
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Optimal (financial) position targeting via decoupling fields
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Stefan Ankirchner
(University of Jena)
()
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15:30
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--- Coffee Break ---
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16:00
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Controlled mean-field dynamics in stochastic control problems depending on the law of state process
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Rainer Buckdahn
(Université de Bretagne Occidentale)
()
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16:30
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Representation of limit values for nonexpansive stochastic differential games
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Juan Li
(Shandong University, Weihai)
()
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17:00
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--- Break ---
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17:10
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Quantile optimization under derivative constraint
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Zuoquan Xu
(The Hong Kong Polytechnic University)
()
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17:40
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The Neumann Boundary Problem for Elliptic Partial Differential Equations with Nonlinear Divergence Terms
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Jing Zhang
(Fudan University)
()
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18:10
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--- Closing ---
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