Program

August 28, 2023 (Mon) @Shiinoki-Geihinkan (Seminar Room B)

10:00–10:40　Freddy Delbaen (ETH Zürich)

Monotone Convex Functionals on C(X) Spaces

10:50–11:30　Xunyu Zhou (Columbia University)

q-Learning in Continuous Time

(Lunch Time)

13:30–14:10　Alex Tse (University College London)

Optimal Investment and Consumption with Epstein-Zin Stochastic Differential Utility and Proportional Transaction Costs

14:20–15:00　Julien Guyon (École des Ponts Paris Tech)

Does the Term-Structure of Equity At-the-Money Skew Really Follow a PowerLaw?

(Coffee Break)

15:30–16:10　Ofelia Bonesini (Imperial College London)

Rough Volatility, Path-Dependent PDEs and Weak Rates of Convergence

16:20–17:00　Christian Bayer (The Weierstrass Institute for Applied Analysis and Stochastics)

Markovian Approximations to Rough Volatility Models

17:10–17:50　Antoine Jacquier (Imperial College London)

Transportation-Based Approach for Rough Volatility

August 29, 2023 (Tue) @Kanazawa University (Natural Science and Technology Hall 5 B, Large Lecture Room (2F))

13:30–14:10　Arturo Kohatsu-Higa (Ritsumeikan University)

Answering a Question of Jiro Akahori

14:20–15:00　Dai Taguchi (Kansai University)

Besov Regularity of the Density Function for SDEs with Super-linearly Growing Coefficients and its Application

(Coffee Break)

15:30–16:10　Tomoyuki Ichiba (University of California Santa Barbara)

Numerical Methods for Stochastic Differential Games on Directed Networks

16:20–17:00　Lukasz Szpruch (The University of Edinburgh)

TBA

17:10–17:50　Emmanuel Gobet (Ecole Polytechnique)

Statistical Error Bounds for Weighted Mean and Median, with Application to Robust Aggregation of Cryptocurrency Data

August 30, 2023 (Wed) @Shiinoki-Geihinkan (Seminar Room B)

9:30–10:10　Christa Cuchiero (University of Vienna)

Infinite Dimensional Wishart Processes

10:20–11:00　Yushi Hamaguchi (Osaka University)

Markovian Lifting and Asymptotic Log-Harnack Inequality for Stochastic Volterra Integral Equations

11:10–11:50　Josef Teichmann (ETH Zürich)

An Affine Perspective on Signature SDEs

Abstract of the talks