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Nonlinear Expectations, Stochastic Calculus under Knightian Uncertainty, and Related Topics
(3 June - 12 July 2013)

Jointly organized with Centre for Quantitative Finance, NUS

 

Organizing Committee · Visitors and Participants · Overview · Activities · Venue

 

 Organizing Committee


Chair


Members


 Visitors and Participants

 

 

 Overview

 

Risk has always been a core issue in Economics and Finance, and the Knightian uncertainty is "a risk whose value itself is not known". The nonlinear expectation theory and the related stochastic calculus provide a convenient mathematical tool to "measure" the uncertainty. This theory has been developed very fast during the past years and has attracted lots of attention from both academia and financial industry. It has applications in and/or deep connections with various areas such as: probability theory, forward and backward stochastic differential equations, mathematical finance, statistics, economics as well as engineering of risk measures, robust optimizations, partial differential equations, stochastic numerics, etc. The development of the nonlinear expectation theory will further provide new insights on those areas.

 

This program will be focusing on, but not limited to, the following two areas:

 

1) Nonlinear expectations, backward stochastic differential equations and path-dependent PDE;

2) Nonlinear expectations, risk measures and robust controls;

 

These areas form the substance of 3 workshops in the 6 weeks long program. There will also be a series of tutorial lectures and ample opportunities for discussions. The program is intended for leading researchers working in these areas to exchange ideas and hopefully to inspire new mathematical concepts and results. It is also intended to bring young researchers and investment banking practitioners in the related quantitative areas to the frontier of this fascinating area.


 Activities




Students and researchers who are interested in attending these activities are requested to complete the online registration form.

The following do not need to register:

  • Those invited to participate.


 Venue

 


Organizing Committee · Visitors and Participants · Overview · Activities · Venue

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