Future or past events may be found by using the Search tab above.
This seminar is funded by the by Curtis E. Huntington Honorary Fund.
Date |
Speaker | Seminar | Title |
Wednesday, September 08, 2021 Start: 4:00 PM
Location: 1324 East Hall |
Ali Kara UM |
Financial/Actuarial Mathematics |
Near-Optimality of Finite-Window Policies for POMDPs under Filter Stability and its Q-learning Convergence |
Wednesday, September 22, 2021 Start: 4:00 PM
Location: 1324 East Hall |
Qi Feng UM |
Financial/Actuarial Mathematics |
Signature Method for Option Pricing Problem With Path-Dependent Features |
Wednesday, September 29, 2021 Start: 4:00 PM
Location: 1324 EH East Hall * |
Dominykas Norgilas UM |
Financial/Actuarial Mathematics |
A Potential-based Construction of the Increasing Spermartingale Coupling |
Wednesday, October 06, 2021 Start: 4:00 PM
Location: 1324 East Hall |
Donghan Kim UM |
Financial/Actuarial Mathematics |
Pathwise Generation of Trading Strategies. |
Wednesday, October 13, 2021 Start: 4:00 PM
Location: 1324 EH East Hall * |
Prakash Chakraborty UM |
Financial/Actuarial Mathematics |
Mean field control and finite agent approximation for regime-switching jump diffusions |
Wednesday, October 20, 2021 Start: 4:00 PM
Location: 1324 East Hall |
Shuoqing Deng UM |
Financial/Actuarial Mathematics |
Entropy martingale optimal transport: general duality in discrete time |
Wednesday, November 10, 2021 Start: 4:00 PM
Location: 1324 East Hall |
Chuhao Sun UM |
Financial/Actuarial Mathematics |
Optimal ergodic harvesting under ambiguity |
Wednesday, December 01, 2021 Start: 4:00 PM
Location: 1324 East Hall |
Ethan Zell UM |
Financial/Actuarial Mathematics |
Finite-state discounted and ergodic mean field games |
Wednesday, December 15, 2021 Start: 4:00 PM
Location: 1360 East Hall * |
NIng Ning UM- Stat |
Financial/Actuarial Mathematics |
High-dimensional Generalized Stochastic Volatility Models |
Wednesday, January 05, 2022 Start: 2:00 PM
Location: Zoom Virtual * |
Huining Yang Oxford |
Financial/Actuarial Mathematics |
Learning in Linear Quadratic Framework: From Single-agent to Multi-agent |
Wednesday, January 05, 2022 Start: 4:00 PM
Location: Zoom Virtual * |
Mehdi Talbi Ecole Poytechnique |
Financial/Actuarial Mathematics |
Dynamic programming equation for the mean field optimal stopping problem |
Wednesday, January 12, 2022 Start: 3:00 PM
Location: Zoom Virtual * |
Lorant Nagy Alfred Renyi Institute |
Financial/Actuarial Mathematics |
Young, Timid, and Risk Takers |
Wednesday, January 12, 2022 Start: 4:00 PM
Location: 1360 East Hall * |
Purba Das Oxford |
Financial/Actuarial Mathematics |
Rough volatility: fact or artefact? |
Wednesday, January 19, 2022 Start: 4:00 PM
Location: Zoom Virtual * |
Paul Zhang UCSD |
Financial/Actuarial Mathematics |
McKean-Vlasov equations involving hitting times: blow-ups and global solvability |
Wednesday, February 02, 2022 Start: 4:00 PM
Location: Zoom Virtual * |
Soren Christensen Christian-Albrechts-University Kiel |
Financial/Actuarial Mathematics |
Learning to reflect - Data-driven solutions to singular control problems |
Wednesday, February 09, 2022 Start: 4:00 PM
Location: On Zoom Virtual * |
Yan Dolinsky University of Jerusalem |
Financial/Actuarial Mathematics |
Utility Maximization with Peeking into the Future |
Wednesday, February 16, 2022 Start: 4:00 PM
Location: Zoom Virtual * |
Christoph Belak TU Berlin |
Financial/Actuarial Mathematics |
Convergence of Deep Solvers for Semilinear PDEs |
Wednesday, March 09, 2022 Start: 4:00 PM
Location: 1360 East Hall * |
Johannes Wiesel Columbia University |
Financial/Actuarial Mathematics |
Measuring association with Wasserstein distances |
Wednesday, March 16, 2022 Start: 3:00 PM
Location: Zoom Virtual * |
Yufei Zhang LSE |
Financial/Actuarial Mathematics |
Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models |
Wednesday, March 23, 2022 Start: 4:00 PM
Location: Zoom Virtual * |
David Itkin Carnegie Mellon |
Financial/Actuarial Mathematics |
Open Markets in Stochastic Portfolio Theory and Hybrid Jacobi Models |
Wednesday, March 30, 2022 Start: 4:00 PM
Location: Zoom Virtual * |
Philip Ernst Rice University |
Financial/Actuarial Mathematics |
Quickest real-time detection of a Brownian coordinate drift |
Wednesday, April 06, 2022 Start: 2:30 PM
Location: 2866 East Hall * |
April Nellis UM |
Financial/Actuarial Mathematics |
A neural network approach to high-dimensional optimal switching problems with jumps in energy markets |
Monday, April 11, 2022 Start: 4:00 PM
Location: 1360 East Hall * |
Huyen Pham Universite de Paris |
Financial/Actuarial Mathematics |
First Van Eenam Lecture: Deep Learning Methods for Stochastic Control And Partial Differential Equations |
Wednesday, April 13, 2022 Start: 4:00 PM
Location: 1360 East Hall * |
Huyen Pham Universite de Paris |
Financial/Actuarial Mathematics |
Second Van Eenam Lecture: Mean-Field Markov Decision Processes With Common Noise And Open-Loop Controls |
Thursday, April 14, 2022 Start: 5:30 PM
Location: 1360 East Hall * |
Huyen Pham Universite de Paris |
Financial/Actuarial Mathematics |
Third Van Eenam Lecture: Optimal Bidding Strategies for Digital Advertising With Social Interactions |
Monday, April 18, 2022 Start: 4:00 PM
Location: 1360 East Hall * |
Zhenhua Wang UM |
Financial/Actuarial Mathematics |
On Equilibrium Concepts of Time-inconsistent Stopping for One-dimensional Diffusion Processes |