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Workshop on Knightian Uncertainty and Backward Stochastic Differential Equations
( 10 - 14 Jun 2013)

Venue: IMS Auditorium

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

 

Monday, 10 Jun 2013

09:15am - 09:30am

Registration

09:30am - 10:30am

Tutorial on BSDE, PDE, nonlinear expectation and model uncertainty I

Shige Peng, Shandong University, China

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Tutorial on BSDE, PDE, nonlinear expectation and model uncertainty II

Shige Peng, Shandong University, China

12:00nn - 02:00pm

--- Lunch ---

02:00pm - 02:45pm

Time consistent coherent extension of time consistent concave monetary utility functions

Freddy Delbaen, ETH Zurich, Switzerland

02:45pm - 03:30pm

Processes with stationary and independent increments under G-expectation

Yongsheng Song, Chinese Academy of Sciences, China

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 04:45pm

Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDE

Huyên Pham, Université Paris Diderot, France

Tuesday, 11 Jun 2013

09:15am - 09:30am

Registration

09:30am - 10:30am

Tutorial on BSDE, PDE, nonlinear expectation and model uncertainty III

Shige Peng, Shandong University, China

10:30am - 11:00am

--- Coffee Break ---

11:00am - 12:00nn

Tutorial on BSDE, PDE, nonlinear expectation and model uncertainty IV

Shige Peng, Shandong University, China

12:00nn - 02:00pm

--- Lunch Reception at IMS ---

02:00pm - 02:45pm

Mean-variance portfolio selection with uncertain drift and volatility

Ying Hu, Université de Rennes 1, France

02:45pm - 03:30pm

Characterization of optimal strategy for multi-asset investment and consumption with transaction costs

Min Dai, National University of Singapore

Wednesday, 12 Jun 2013

09:15am - 09:30am

Registration

09:30am - 10:15am

Arbitrage and duality in nondominated discrete-time models

Marcel Nutz, Columbia University, USA

10:15am - 10:45am

--- Group Photo & Coffee Break ---

10:45am - 11:30am

Transposition method for BSDEs/BSEEs

Xu Zhang, Chinese Academy of Sciences, China

11:30am - 12:00nn

BSDE, path-dependent PDE and nonlinear Feynman-KAC formula

Falei Wang, Shandong University, China

12:00nn - 02:00pm

--- Lunch ---

02:00pm - 02:45pm

Doubly reflected second order BSDE's and Dynkin game under uncertainty

Anis Matoussi, Université du Maine, France

02:45pm - 03:30pm

A stochastic recursive optimal control problem under the G-expectation framework

Shaolin Ji, Shandong University, China

03:30pm - 04:00pm

--- Coffee Break ---

04:00pm - 04:45pm

Model-free hedging and martingale optimal transport

Nizar Touzi, Ecole Polytechnique, France

Thursday, 13 Jun 2013

09:15am - 09:30am

Registration

09:30am - 10:15am

Two person zero sum game under weak formulation

Jianfeng Zhang, University of Southern California, USA

10:15am - 10:45am

--- Coffee Break ---

10:45am - 11:30am

Martingale problems under non-linear expectations

Xin Guo, University of California at Berkeley, USA

11:30am - 12:15pm

A new 10-30 rule: an investigation of hedge fund performance fees via behavioral finance

Steven Kou, National University of Singapore

12:15pm - 02:00pm

--- Lunch ---

06:30pm - 07:30pm

Public Lecture: What Really Happened in 2008, and Why?

Philip Protter, Columbia University
Venue:LT33, Block S17, Level 2, Faculty of Science, NUS

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Friday, 14 Jun 2013

09:15am - 09:30am

Registration

09:30am - 10:15am

Model uncertainty in insurance problems

Jin Ma, University of Southern California, USA

10:15am - 10:45am

--- Coffee Break ---

10:45am - 11:30am

Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

Mingshang Hu, Shandong University, China

11:30am - 12:15pm

Second order BSDEs with jumps

Chao Zhou, National University of Singapore


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

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