MS-Th-D-26
Functional Ito calculus and Path-dependent Partial Differential Equations

Date: August 13
Time: 13:30--15:30
Room: 110

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Organizer:
CONT, Rama (Imperial College London)

Abstract: The Functional Ito calculus is a non-anticipative functional calculus which extends the Ito calculus to path-dependent functionals of stochastic processes. This recently developed approach has led to new results on the representation of martingales as stochastic integrals, the derivation of Feynman-Kac formulae for path-dependent functionals and a new class of functional equations known as "path-dependent PDEs", which extends the classical Kolmogorov equations to the non-Markovian case. with interesting connections to the theory of Backward stochastic differential equations.

This MiniSymposium presents recent research on Functional Ito calculus and path-dependent PDEs and their applications to stochastic control and simulation of stochastic processes.


MS-Th-D-26-1
13:30--14:00
Weak solutions for path-dependent Kolmogorov equations
CONT, Rama (Imperial College London)


MS-Th-D-26-2
14:00--14:30
Viscosity solutions of obstacle problems for Fully nonlinear path-dependent PDEs.
Ekren, Ibrahim (ETH Zurich)


MS-Th-D-26-3
14:30--15:00
Pathwise Ito Calculus for Rough Paths and Applications
Zhang, Jianfeng (Univ. of Southern California)


MS-Th-D-26-4
15:00--15:30
Weak approximation of martingale representations
Lu, Yi (Univ. Paris 6)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA