| Time | 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 | 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) |