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