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 limitedfirst 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 DandapaniInitial 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

Student Speakers

Organizers