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  6. Topics in SDEs and their link to (S)PDEs

Probability and Financial Mathematics event

Topics in SDEs and their link to (S)PDEs

Trend Lines
  • Date: Monday 19 September 2016, 12:00 –
  • Location: Mathematics Level 8, MALL 1 & 2, School of Mathematics
  • Type: Conferences
  • Cost: Contact Elena Issoglio
  • Download: Outlook, iCal

The aim of this event is to present some of the current results in the research area of stochastic analysis.

In particular, we will discuss stochastic differential equations, forward-backwards stochastic differential equations, stochastic partial differential equations, the interplay between these areas and some of their various applications (e.g. financial mathematics).  We want to bring together researchers from the north of England with an interest in stochastic analysis, particularly young researchers, to stimulate discussions and possibly start new collaborations. 

Speakers

Plenary:

  • Goncalo Dos Reis (The University of Edinburgh)
  • Elena Issoglio (University of Leeds)
  • Francesco Russo (ENSTA-ParisTech)

Contributed:

  • Gaurav Dhariwal (University of York)
  • Peter Johnson (The University of Manchester)
  • Shi Qiu (The University of Manchester)

Programme

12:00-13:00 - Buffet lunch

13:00-13:45 - Russo, F. - BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk
13:45-14:30 - Issoglio, E. - Forward-Backward SDEs with distributional coefficients
14:30-14:50 - Shi, Q. - American Eagle Options

14:50-15:30 - Coffee Break

15:30-16:15 - Dos Reis, G. - Ideas on pathwise directional derivatives beyond Cameron-Martin directions
16:15-16:35 - Dhariwal, G. - 2D Stochastic Constrained Navier-Stokes Equations
16:35-16:55 - Johnson, P. - Optimal Stopping in Mathematical Statistics

18:30 - Social Dinner

The full programme with abstracts can be downloaded here.

Registration

Anyone interested is welcome to attend. Registration is FREE but COMPULSORY. If you intend to take part please send an email to Elena Issoglio by Monday 12 September.

The buffet lunch will be offered to all registered participants and it will be held in the Mathematics Department, Level 9 Foyer.

Financial Support

This meeting is kindly supported by an LMS Conference grant.

Partial travel funding is available for young researchers including PhDs and Post-Docs. Please ask Elena for further information about financial support.