MS-Tu-E-53
Stochastic control perspectives in mathematical finance

Date: August 11
Time: 16:00--18:00
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Ludkovski, Mike (UC Santa Barbara)
Leung, Tim (Columbia Univ.)
Zhu, Chao (Univ. of Wisconsin-Milwaukee)
Song, Qingshuo (City Univ. of Hong Kong)

Abstract: The stochastic control theory is a field that probability and partial differential equation are intimately intertwined. With the rapid development of the mathematical finance in the last two decades, the stochastic control theory has gained significant interests both from theoretical researchers and practitioners. In particular, many problems driven by financial applications can be formulated into some interesting non-standard control problems, further raise new challenges in this field. This mini-symposium is devoted to the recent advances in the stochastic control theory motivated by the financial applications.


MS-Tu-E-53-1
16:00--16:30
Continuity of the value functions of stochastic control problems in a bounded domain
Zhu, Chao (Univ. of Wisconsin-Milwaukee)
Song, Qingshuo (City Univ. of Hong Kong)


MS-Tu-E-53-2
16:30--17:00
Stackelberg game with regime switching
Yan, Zhongfeng (jinan Univ.)


MS-Tu-E-53-3
17:00--17:30
Consumption in Incomplete Markets
WANG, Gu (Univ. of Michigan at Ann Arbor)


MS-Tu-E-53-4
17:30--18:00
A dynamic approach for some time inconsistent problems
Zhang, Jianfeng (Univ. of Southern California)

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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