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International conference "Stochastic Optimization and Optimal Stopping"
(September 24–28, 2012, Steklov Mathematical Institute of RAS, Moscow)

International conference "Stochastic Optimization and Optimal Stopping"

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Website: http://soandos.mi.ras.ru

Photogallery of the conference

Organizing Committee
Shiryaev Albert Nikolaevich (Chairman)
Beyer Natalia
Muravlev Alexey Anatol'evich
Tolozova Tatyana Borisovna
Yaskov Pavel Andreevich
Zhitlukhin Mikhail Valentinovich

Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Research laboratory in Predictive Modeling and Optimization at PhysTech (PreMoLab), Moscow


International conference "Stochastic Optimization and Optimal Stopping", Moscow, September 24–28, 2012

September 24, 2012
  Plenary talks
1. Extremal martingales. Stochastic optimization and optimal stopping
Chris Rogers
September 24, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
Chris Rogers
  
2. Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection
Bernt Øksendal
September 24, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
Bernt Øksendal
  
3. Asymptotically optimal discretization of hedging strategies with jumps
Peter Tankov
September 24, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
Peter Tankov
  
4. On a structure of a minimax test in testing composite hypotheses
Alexander Gushchin
September 24, 2012 13:10, Moscow, Steklov Mathematical Institute of RAS
Alexander Gushchin
  

September 25, 2012
5. Arrow-Debreu equilibria for rank-dependent utilities
Xunyu Zhou
September 25, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
Xunyu Zhou
  
6. Sequential hypothesis testing and disorder detection: past and future
Alex G. Tartakovsky
September 25, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
Alex G. Tartakovsky
  
7. Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Erhan Bayraktar
September 25, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
Erhan Bayraktar
  
8. Optimal investment with random innovations
Manuel Guerra
September 25, 2012 13:10, Moscow, Steklov Mathematical Institute of RAS
Manuel Guerra
  
9. Pricing of swing options in continuous time
Christian Bender
September 25, 2012 15:00, Moscow, Steklov Mathematical Institute of RAS
Christian Bender
  

September 26, 2012
10. Stochastic differential games with mean field effect
Alain Bensoussan
September 26, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
Alain Bensoussan
  
11. Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDEs
Huyên Pham
September 26, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
Huyên Pham
  
12. Multilevel primal and dual approaches for pricing American options
John Schoenmakers
September 26, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
John Schoenmakers
  

September 27, 2012
13. Stochastic optimization of sailing trajectories in an upwind regatta
Robert C. Dalang
September 27, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
Robert C. Dalang
  
14. From sequential analysis to optimal stopping — revisited
Hans Rudolf Lerche
September 27, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
Hans Rudolf Lerche
  
15. Optimal dividend-payout in random discrete time
Nicole Bäuerle
September 27, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
Nicole Bäuerle
  
16. Average-cost Markov Decision Processes with weakly continuous
Eugene A. Feinberg
September 27, 2012 15:00, Moscow, Steklov Mathematical Institute of RAS
Eugene A. Feinberg
  

September 28, 2012
17. Equilibrium stochastic behaviors in repeated games
Arkady Kryazhimskiy
September 28, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
Arkady Kryazhimskiy
  
18. Liquidity, equilibrium and asymmetric information
Umut Çetin
September 28, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
Umut Çetin
  
19. Optimal trade execution and price manipulation in order books with time-varying liquidity
Mikhail Urusov
September 28, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
Mikhail Urusov
  
 
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