The Math Finance Colloquium are held regularly on Monday, 2:00 – 3:00 pm in KAP 414.  It can also be accessed remotely from Zoom, please see the announcements for the links.

4/17/23 Qi Feng (University of Michigan)

Exponential Entropy dissipation for weakly self-consistent Vlasov-Fokker-Planck equations

4/7/23 (Friday 3:30-4:30pm) Jiongmin Yong (University of Central Florida)

Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

3/27/23 Yu-Jui Huang (University of Colorado Boulder)

Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems

3/6/23 Lingjiong Zhu (Florida State University)

The Heavy–Tail Phenomenon in SGD

2/6/23 Zachary Feinstein (Stevens Institute of Technology)

Endogenous Network Valuation Adjustment and the Systemic Yield Curve in a Dynamic Interbank Model

1/23/23 Ali Lazrak (Univeristy of British Columbia, Canada)

Voting with Decentralized Policy Contingent Promisess

1/13/23(Friday 3:30-4:30pm)    Zachary Bezemek (Boston University) (Virtual Talk)

Large Deviations and Importance Sampling for Weakly Interacting Diffusions

1/9/23    Weixuan Xia (Boston University)  (Virtual Talk)

Optimal consumption-investment problems under time-varying incomplete preferences

Slides