Programme

The Programme can be downloaded here

The Book of Abstract is available here

Slides of each presentation can be downloaded by clicking on titles below.

Monday 10 September
9:00 – 10:00		-- Registration  --
10:00 – 10:45	Saïd Hamadène	Mean-field backward-forward stochastic differential equations and mean-field nonzero sum stochastic differential games
10:45 – 11:15	Michele Coghi	Mean field limit of interacting filaments for 3D Euler equations
11:15 – 11:45		-- Coffee Break --
11:45 – 12:30	Alexandre Popier	A mean field game of optimal portfolio liquidation
12:30 – 13:00	Vadim Kaushansky	Simulation of particle systems interacting through hitting times
13:00 – 14:30		-- Lunch --
14:30 – 15:15	Gechun Liang	Systems of infinite horizon and ergodic BSDE arising in regime switching forward performance processes
15:15 – 15:45	Giovanni Conforti	The Schrödinger problem for weakly dependent particles
15:45 – 16:30		-- Coffee Break and Poster Session --
16:30 – 17:15	Francesco Russo	Recent developments in stochastic calculus via regularizations with jumps and applications to BSDEs

Tuesday 11 September
10:00 – 10:45	Lukasz Szpruch	Weak particle expansions for McKean-Vlasov SDEs
10:45 – 11:15	Andreas Sojmark	Dirichlet heat kernel type estimates for stochastic McKean-Vlasov equations with unbounded drift
11:15 – 11:45		-- Coffee Break --
11:45 – 12:30	Sam Cohen	Uncertainty, Control and Filtering
12:30 – 13:00	Tiziano De Angelis	Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
13:00 – 14:30		-- Lunch --
14:30 – 15:15	Marie-Claire Quenez	Non-linear pricing of European options in an incomplete market with default
15:15 – 16:00	Miryana Grigorova	Non-linear pricing of American options in an incomplete market with default
16:00 – 16:30		-- Coffee Break --
16:30 – 17:15	Claudia Ceci	On optimal reinsurance and investment for partially observable insurance models: a BSDE approach
17:15 – 17:45	Alessandro Calvia	Optimal control of Pure jump processes with noise free partial observation
17:45 – 18:30		-- Free time --
18:30 – end		-- Buffet social dinner --

Wednesday 12 September
10:00 – 10:45	Huyên Pham	Control of McKean-Vlasov systems
10:45 – 11:15	Mario Maurelli	A McKean-Vlasov SDE with reflecting boundaries
11:15 – 11:45		-- Coffee Break --
11:45 – 12:30	Dan Crisan	Smoothing properties of McKean-Vlasov SDEs
12:30 – 13:00	Stefano Pagliarani	Fixed-point theorems and Picard iteration methods for a class of McKean-Vlasov SDEs with jumps
13:00 – 14:30		--Concluding remarks and Lunch --