International conference "Stochastic Optimization and Optimal Stopping" (September 24–28, 2012, Steklov Mathematical Institute of RAS, 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 10:00–11:50, Moscow, Steklov Mathematical Institute of RAS





2. 
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection Bernt Øksendal September 24, 2012 11:00–11:50, Moscow, Steklov Mathematical Institute of RAS





3. 
Asymptotically optimal discretization of hedging strategies with jumps Peter Tankov September 24, 2012 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS





4. 
On a structure of a minimax test in testing composite hypotheses Alexander Gushchin September 24, 2012 13:10–13:40, Moscow, Steklov Mathematical Institute of RAS






September 25, 2012 

5. 
ArrowDebreu equilibria for rankdependent utilities Xunyu Zhou September 25, 2012 10:00–10:50, Moscow, Steklov Mathematical Institute of RAS





6. 
Sequential hypothesis testing and disorder detection: past and future Alex G. Tartakovsky September 25, 2012 11:00–11:50, Moscow, Steklov Mathematical Institute of RAS





7. 
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games Erhan Bayraktar September 25, 2012 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS





8. 
Optimal investment with random innovations Manuel Guerra September 25, 2012 13:10–13:40, Moscow, Steklov Mathematical Institute of RAS





9. 
Pricing of swing options in continuous time Christian Bender September 25, 2012 15:00–15:50, Moscow, Steklov Mathematical Institute of RAS






September 26, 2012 

10. 
Stochastic differential games with mean field effect Alain Bensoussan September 26, 2012 10:00–10:50, Moscow, Steklov Mathematical Institute of RAS





11. 
Backward SDEs with partially nonpositive jumps and HamiltonJacobiBellman IPDEs Huyên Pham September 26, 2012 11:00–11:50, Moscow, Steklov Mathematical Institute of RAS





12. 
Multilevel primal and dual approaches for pricing American options John Schoenmakers September 26, 2012 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS






September 27, 2012 

13. 
Stochastic optimization of sailing trajectories in an upwind regatta Robert C. Dalang September 27, 2012 10:00–11:50, Moscow, Steklov Mathematical Institute of RAS





14. 
From sequential analysis to optimal stopping — revisited Hans Rudolf Lerche September 27, 2012 11:00–11:50, Moscow, Steklov Mathematical Institute of RAS





15. 
Optimal dividendpayout in random discrete time Nicole Bäuerle September 27, 2012 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS





16. 
Averagecost Markov Decision Processes with weakly continuous Eugene A. Feinberg September 27, 2012 15:00–15:50, Moscow, Steklov Mathematical Institute of RAS






September 28, 2012 

17. 
Equilibrium stochastic behaviors in repeated games Arkady Kryazhimskiy September 28, 2012 10:00–10:50, Moscow, Steklov Mathematical Institute of RAS





18. 
Liquidity, equilibrium and asymmetric information Umut Çetin September 28, 2012 11:00–11:50, Moscow, Steklov Mathematical Institute of RAS





19. 
Optimal trade execution and price manipulation in order books with timevarying liquidity Mikhail Urusov September 28, 2012 12:10–13:00, Moscow, Steklov Mathematical Institute of RAS





