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

• Shige Peng (Shandong University)

Members

• Min Dai (National University of Singapore)
• Hans Föllmer (Humboldt-University of Berlin)
• Juri Hinz (University of Technology, Sydney)
• Steven Kou (National University of Singapore)
• Jianming Xia (Chinese Academy of Sciences)
• Jianfeng Zhang (University of Southern California)

Visitors and Participants

 

• Overseas visitors
• Local visitors
• Graduate students
• Registered local 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

• Workshop on Knightian Uncertainty and Backward Stochastic Differential Equations: 10 - 14 Jun 2013
  • Tutorial on BSDE, PDE, Nonlinear Expectation and Model Uncertainty: 10 - 11 Jun 2013
• Tutorial on Viscosity Solutions of Path Dependent PDEs: 17 - 18 Jun 2013
• Institute of Mathematical Statistics Workshop on Finance - Probability and Statistics: 19 - 21 Jun 2013
• Tutorial on Numerical Methods for Hamilton-Jacobi-Bellman Equations in Finance: 24 - 25 Jun 2013
• Tutorial on Risk Measures: 28 Jun 2013
• Workshop on Knightian Uncertainty and Risk Measures: 1 - 5 Jul 2013
• Public Lectures

  ... Jointly organized with Center for Quantitative Finance, NUS
  Date:	Thursday, 13 June 2013
  Venue:	LT33, Block S17, Level 2, Faculty of Science, National University of Singapore, Singapore 119260
  6:30pm - 7:30pm	What Really Happened in 2008, and Why? Philip Protter, Columbia University
  ... Jointly organized with Department of Economics, NUS, Center for Quantitative Finance, NUS and Monetary Authority of Singapore
  Date:	Thursday, 4 July 2013
  Venue:	LT12, Faculty of Arts and Social Sciences, NUS
  4:00pm - 5:30pm	Regulatory Boundaries for the Banking System Darrell Duffie, Stanford University, USA

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

 

• IMS Auditorium
• Venue for period 19 - 21 Jun 2013
  Lecture Theatre 34 and S17-05-12 (S17, 10 Lower Kent Ridge Road Singapore 119076)

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