Institute for Mathematical Sciences Event Archive
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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
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 |
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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 |
Min Dai, National University of Singapore |
Wednesday, 12 Jun 2013 |
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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 |
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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
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Friday, 14 Jun 2013 |
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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 |
Mingshang Hu, Shandong University, China |
11:30am - 12:15pm |
Chao Zhou, National University of Singapore |
Organizing Committee · Visitors and Participants · Overview · Activities · Venue
