Time |
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Monday (25 Oct) |
8h45-8h50 |
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Beginning of
the conference |
8h50-9h45 |
Chairman: Nizar Touzi |
M |
Nicole EL
KAROUI (LPMA/Univ. P. and M. Curie, CMAP/Ecole
Polytechnique, France) |
Quadratic BSDEs
revisited, a forward point of view |
9h45-10h15 |
P |
Marina SANTACROCE (Department of
Mathematics of Politecnico in Turin, Italy) |
Power utility
maximization under partial information: some convergence results |
10h15-10h45 |
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Coffee break |
10h45-11h40 |
Chairman:
Martin Schweizer |
P+Disc |
Samuel COHEN (Oxford University, United Kingdom) |
Existence, Uniqueness and Comparisons
for BSDEs in general spaces |
Discussion led by Nicole
EL KAROUI (LPMA/UPMC, CMAP/Ecole
Polytechnique) |
11h40-12h10 |
P |
Bernt
OKSENDAL (Oslo University, Norway) |
Optimal control of stochastic delay
equations and time-advanced backward stochastic differential equations |
12h10-12h40 |
P |
Ying HU (IRMAR, University of Rennes 1, France) |
Ergodic BSDEs
under weak dissipative assumptions and application to ergodic control |
12h40-14h00 |
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Lunch |
14h00-15h30 |
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Discussion Time |
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15h30-16h00 |
Chairman: Monique Jeanblanc |
P |
Boualem DJEHICHE (KTH, Stockholm, Sweden) |
Optimal stopping of expected profit and
cost yields in an investment under uncertainty |
16h00-16h30 |
P |
Vlad BALLY (University of Marne-la-Vallée, France) |
Density estimates for local-stochastic
volatility models |
16h30-17h00 |
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Coffee break |
17h00-17h30 |
Chairman: Huyên Pham |
P |
M'hamed EDDAHBI (University of Cadi Ayyad, Marrakesh, Morocco) |
Limit theorems for
BSDE with local time applications to nonlinear PDE |
17h30-18h00 |
P |
Stéphane CRÉPEY (University of Evry, France) |
Doubly Reflected BSDEs with Call
Protection and their Approximation |
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