Workshop on Recent problems of stochastic control theory

Institute of Matematics of Polish Academy of Sciences,

Warsaw, Poland, January 27 - February 02, 2019

Programme

10.00-10.05 Opening
- 10.05-10.50 Ari Arapostathis, University of Texas at Austin,
  - An approach to infinite horizon risk-sensitive control of diffusions via the study of principal eigenvalues of elliptic operators
11.00-11.45 Vivek Borkar, Indian Institute of Technology, Mumbai,
- Relative value iteration for ergodic control
12.00-12.45 Andrzej Świech, Georgia Institute of Technology
- Coupling distance between Levy measures and uniqueness of viscosity solutions of non-local HJB equations
13.00 Lunch
15.00-15.45 Soren Christensen, University of Hamburg,
- On time-inconsistent stopping problems and mixed strategy stopping times
16.00-16.45 Denis Belomestny, Duisburg-Essen University,
- Tractability of continuous time optimal stopping problems

10.00-10.45 Bohdan Maslowski, Charles University Prague,
- Filtering and Parameter Estimation for Linear SPDEs driven by Gauss-Volterra Processes
11.00-11.45 Tyrone E. Duncan, University of Kansas,
- Solvable Stochastic Differential Games with Gauss-Volterra Noise
12.00-12.45 Bozenna Pasik-Duncan, University of Kansas,
- Ergodic Control of a Linear Equation with Rosenblatt Noise
13.00 Lunch
15.00-15.45 Nicole Bauerle, Karslruhe Institute of Technology,
- Portfolio Optimization in Fractional and Rough Heston Models
16.00-16.45 Teemu Pennanen, King's College London,
- Optimal stopping without Snell envelopes

10.00-10.45 George Yin, Wayne State University,
- Maximum Principle for Switching Diffusions with Applications to Mean-Field Controls
11.00-11.45 Qing Zhang, University of Georgia,
- Switching Between A Pair of Stocks: An Optimal Trading Rule
12.00-12.45 Jiongmin Yong, University of Central Florida,
- Equilibrium Strategies of Time-Inconsistent Optimal Control Problems
13.00 Lunch
14.30 walking excursion

10.00-10.45 Youssef Ouknine, University Mohammed 6 Polytechnique,
- Marrakech, Morocco, Non linear optimal stopping problem and Reflected BSDE in the predictable setting
11.00-11.45 Tomasz Klimsiak, University of Toruń,
- Reflected BSDEs approach to generalized Dynkin games
12.00-12.45 Jan Palczewski, University of Leeds,
- Value of a Dynkin game with asymmetric information
13.00 Lunch
15.00-15.45 Yuliya Mishura, University of Kiev,
- Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
16.00-16.30 Anton Yurchenko-Tytarenko, University of Kiev,
- Construction and properties of Fractional Cox-Ingersoll-Ross Process driven by fractional Brownian motion with H>1/2
16.45-17.30 Miklos Rasonyi, Renyi Institute HAS,
- Recent advances about the stochastic gradient Langevin dynamics
17.45-18.30 Anna Jaśkiewicz, Wroclaw University of Technology,
- Markov decision processes with quasi-hyperbolic discounting
18.30 catering conference dinner at IMPAN

10.00-10.45 Maurice Robin, Universite Paris-Saclay,
- On ergodic impulse control with constraint, the locally compact case
11.00-11.45 Francois Dufour, Universite Bordeaux,
- The expected total reward criterion for Markov decision processes under constraints
12.00-12.45 Daniel Hernandez-Hernandez, Centro de Investigación en Matematicas (CIMAT),
- Zero-sum finite games with risk-sensitive average criterion: average cost limits
13.00 Lunch
15.00-15.45 Krzysztof Szajowski, Wroclaw University of Technology,
- Bayesian optimal control for a non-autonomous stochastic discrete time system
16.00-16.45 Łukasz Stettner, IMPAN,
- Bellman equations for scalar linear convex stochastic control problems

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