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 —