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.


9/11/23 Bingyan Han (University of Michigan)

Fitted value iteration methods for bicausal optimal transport

9/25/23 Valentin Tissot-Daguette (Princeton University/USC)

Stopping Spot Local Times: A Random Occupation

10/20/23 (Friday 3:30-4:30 joint with Prob/Stat seminar) Cagin Ararat (Bilkent University, Turkey)

Path-regularity and martingale properties of set-valued stochastic integrals

10/23/23 Joseph Jackson (University of Chicago)

The convergence problem in mean field control

11/6/23 Mete Soner (Princeton Univeristy)

Eikonal Equations on Wasserstein Spaces

11/20/23 Yumin Zhang (Auburn University)

Convergence of Policy Iteration for Deterministic Control

1/29/24 Kovacova Gabriela (UCLA)

The set-valued Bellman’s principle: A look at the mean-risk problem and model uncertainty

2/12/24 Andrew Lyasoff (Boston University)

Self-Aware Transport of Economic Agents

2/26/24 Kasper Larsen (Rutgers University)

Existence of an equilibrium with limited stock market participation and power utilities

3/4/24 Qingshuo Song (Worcester Polytechnic Institute)

From the cell problem to the turnpike property in LQG control

3/25/24 Jinniao Qiu (University of Calgary)

Stochastic Black-Scholes equation and approximations for option pricing under a non-Markovian framework

4/15/24 Tomoyuki Ichiba (UCSB)

Smoothness of Directed Chain Stochastic Differential Equations and Its Applications

 

4/22/24 Umut Cetin (London School of Economics)