Time |
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Tuesday (26 Oct) |
8h50-9h45 |
Chairman: Emmanuel Gobet |
P+Disc |
Mateo CASSERINI (ETH Zurich,
Switzerland) |
An approach to fully coupled FBSDEs via
functional differential equations |
Discussion led by Jianfeng
ZHANG (University of Southern California, USA) |
9h45-10h15 |
P |
Plamen TURKEDJIEV (Humboldt University of Berlin, Germany) |
Convergence of the Bender/Denk algorithm |
10h15-10h45 |
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|
Coffee break |
10h45-11h40 |
Chairman:
Vlad Bally |
P+Disc |
Joscha DIEHL (Humboldt
University of Berlin, Germany) |
BSDEs with rough drivers |
Discussion led by Anis
MATOUSSI (University of Le Mans/CMAP, Ecole
Polytechnique) |
11h40-12h10 |
P |
Mohamed
M'RAD (University of
Paris 13, France) |
An Exact Connection between two Solvable
SDEs and a Non Linear Utility SPDE's |
12h10-12h40 |
P |
Azmi MAKHLOUF (Osaka University,
Osaka, Japan) |
L2-time
regularity of BSDEs with irregular terminal functions |
12h40-14h00 |
|
|
Lunch |
14h00-15h30 |
|
|
Discussion Time |
|
|
15h30-16h00 |
Chairman: Peter Tankov |
P |
Konstantinos
MANOLARAKIS (Imperial College London, United Kingdom) |
Second order discretization and
efficient simulation of Markovian
BSDEs |
16h00-16h30 |
P |
Joceline BION-NADAL (CMAP/Ecole Polytechnique, France) |
Convex Risk Measures under Model
Uncertainty |
16h30-17h00 |
|
|
Coffee break |
17h00-17h30 |
Chairman: Said Hamadene |
P |
Gilles PAGÈS (LPMA/University Pierre and Marie Curie, France) |
Dual quantization methods and
application to Finance |
17h30-18h25 |
P+Disc |
Emmanuel
GOBET (CMAP/Ecole Polytechnique) |
Generalized fractional smoothness and
Lp-variation of BSDEs with non-Lipschitz terminal condition |
Discussion led by Bruno BOUCHARD (University
of Paris Dauphine) |
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