Theory and Practice of Optimal Stopping and Free Boundary Problems

::::::::::::::::::::::[ Winter School ]:::::::::::::::::::::: 13th - 17th of January 2020

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Short description

This winter school is mainly aimed at PhD students and post-docs but participation is open to anyone with an interest in the subject. For further details about registration click here. The lectures will provide a comprehensive introduction to the theory of optimal stopping for Markov processes, including applications to Dynkin games, with an emphasis on the existing links to the theory of partial differential equations and free boundary problems. Alongside traditional lectures there will also be tutorial classes (4 hours) with a focus on solutions of specific problems.

Lectures will be delivered by:

  • Erik Ekstrom (University of Uppsala): Optimal stopping games (7 hours)
  • Damien Lamberton (Université Paris-Est – Marne-la-Vallée): Variational inequalities for optimal stopping (7 hours)
  • Goran Peskir (University of Manchester): Optimal stopping and free-boundary problems (7 hours)

One-Day Workshop

On Wednesday 15th of January there will be a full day workshop on a broad range of topics related to optimal stopping and stochastic control. We strongly encourage attendees of the winter school to submit a contributed talk at the time of their registration.

Sponsors

The winter school is financially supported by EPSRC via the Grant  EP/R021201/1 and it is sponsored by the Applied Probability Section of Royal Statistical Society and IFIP Working Group 7.7. Logistic support by the School of Mathematics at the University of Leeds is gratefully acknowledged.