Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, March 11, 2020
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Rank-dependent diffusions and PDEs

Abstract:   In this talk, I will discuss rank-dependent diffusions. I will focus on two models: Up the River model and N-player games with fuel constraints. These problems require treating carefully the corresponding PDEs. The former is joint with Li-Cheng Tsai, and the latter joint with Xin Guo and Renyuan Xu.

Files: 6208_Michigan.pdf

Speaker:  Wenpin Tang
Institution:  UCLA

Event Organizer:     


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