Berkeley–Columbia Meeting in Engineering and Statistics

The Berkeley-Columbia Meeting provides an interdisciplinary forum for research in Engineering, Finance, Mathematics and Statistics. The inaugural session of the conference is hosted by UC Berkeley on March 24 and 25, 2016. Registration is not necessary. However, seating is limited—first come, first served.

Location

290 Hearst Memorial Mining Building (map).

Schedule for Thursday, March 24

08:30-09:00 Breakfast at lecture hall

09:00-09:10 Craig Evans: Opening

09:10-09:45 Jose Blanchet: On Robust Risk Analysis

09:50-10:25 Johan Walden: Mortgage Loan-Flow Networks and Financial Norms

Coffee Break

10:45-11:05 Joon Seok Lee: Mean Field Game with Singular Controls and Applications

11:05-11:25 Aditi Dandapani: Initial Expansions of Filtrations and the Strict Local Martingale Property

11:30-12:05 Philip Protter: The Don Ho Market

Lunch at lecture hall

02:00-02:35 Laurent El Ghaoui: Identification of Optimization-Friendly Models and Complex Energy Systems

02:40-03:15 Agostino Capponi: Concentration of Exposures and Systemic Losses in Financial Networks

03:20-03:40 Lisha Qiu: On the Detection of Asset Bubbles

Coffee Break

04:00-04:35 Yuchong Zhang: Stochastic Perron for the Lifetime Ruin Problem under Transaction Costs

04:40-05:15 Lisa Goldberg: Identifying Financial Risk Factors with a Low-Rank Sparse Decomposition

06:00 Conference Dinner for speakers at Cesar, 1515 Shattuck Ave (map)

Schedule for Friday, March 25

08:30-09:00 Breakfast at lecture hall

09:00-09:35 Jingchen Liu: On the Level Crossing of Likelihood Functions

09:40-10:00 Xiaoou Li: Multilevel Approach towards Unbiased Sampling of Random Elliptic PDEs

Coffee Break

10:15-10:50 Robert Anderson: PCA with Model Misspecification

10:55-11:15 Wenpin Tang: Optimal Surviving Strategy for the "Up the River" Problem

Break

11:30-12:05 Morteza Ashraphijuo: A Strong Semidefinite Programming Relaxation of the Unit Commitment Problem

12:10-12:20 Phil Kaminsky: Closing

Book of Abstracts (pdf)

Speakers

• • Robert Anderson, Berkeley Econ and Math

• Jose Blanchet, Columbia IEOR and Stat

• Agostino Capponi, Columbia IEOR

• Laurent El Ghaoui, Berkeley EECS and IEOR

• Craig Evans, Berkeley Math

• Lisa Goldberg, Berkeley Risk Center and Stat

• Phil Kaminsky, Berkeley IEOR

• Javad Lavaei, Berkeley IEOR

• Jingchen Liu, Columbia Stat

• Philip Protter, Columbia Stat

• Johan Walden, Berkeley Haas

• Thaleia Zariphopoulou, UT Austin Math

• Yuchong Zhang, Columbia Stat

Student Speakers

• Morteza Ashraphijuo, Berkeley IEOR

• Aditi Dandapani, Columbia APAM

• Joon Seok Lee, Berkeley IEOR

• Xiaoou Li, Columbia Stat

• Lisha Qiu, Columbia Stat

• Wenpin Tang, Berkeley Stat

Organizers

• Xin Guo, Berkeley IEOR

• Marcel Nutz, Columbia Stat and Math