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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. 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. A series of lectures is dedicated to stochastic control and free boundary methods, applied to continuous-time models for contract theory.  Alongside traditional lectures there will also be tutorial classes (2 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)
  • Mihalis Zervos (London School of Economics): Continuous time contract theory models (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.


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.