International conference "Stochastic Optimization and Optimal Stopping" (September 24–28, 2012, Steklov Mathematical Institute of RAS, Moscow)
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International conference "Stochastic Optimization and Optimal Stopping", Moscow, September 24–28, 2012 |
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September 24, 2012 |
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Plenary talks |
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Extremal martingales. Stochastic optimization and optimal stopping Chris Rogers September 24, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
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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
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Asymptotically optimal discretization of hedging strategies with jumps Peter Tankov September 24, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
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On a structure of a minimax test in testing composite hypotheses Alexander Gushchin September 24, 2012 13:10, Moscow, Steklov Mathematical Institute of RAS
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September 25, 2012 |
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Arrow-Debreu equilibria for rank-dependent utilities Xunyu Zhou September 25, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
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Sequential hypothesis testing and disorder detection: past and future Alex G. Tartakovsky September 25, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
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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
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Optimal investment with random innovations Manuel Guerra September 25, 2012 13:10, Moscow, Steklov Mathematical Institute of RAS
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Pricing of swing options in continuous time Christian Bender September 25, 2012 15:00, Moscow, Steklov Mathematical Institute of RAS
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September 26, 2012 |
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Stochastic differential games with mean field effect Alain Bensoussan September 26, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
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Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDEs Huyên Pham September 26, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
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Multilevel primal and dual approaches for pricing American options John Schoenmakers September 26, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
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September 27, 2012 |
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Stochastic optimization of sailing trajectories in an upwind regatta Robert C. Dalang September 27, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
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From sequential analysis to optimal stopping — revisited Hans Rudolf Lerche September 27, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
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Optimal dividend-payout in random discrete time Nicole Bäuerle September 27, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
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Average-cost Markov Decision Processes with weakly continuous Eugene A. Feinberg September 27, 2012 15:00, Moscow, Steklov Mathematical Institute of RAS
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September 28, 2012 |
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Equilibrium stochastic behaviors in repeated games Arkady Kryazhimskiy September 28, 2012 10:00, Moscow, Steklov Mathematical Institute of RAS
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Liquidity, equilibrium and asymmetric information Umut Çetin September 28, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
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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
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