Event Types
Location
Theory and Methods for Conditional Diffusion Models
Ahmad Aghapour, UM
will study conditional sampling with diffusion models under linear constraints, with a focus on understanding how a pre-trained...
Stability, Approximation, and Robustness of Optimal Policies in POMDPs
Yunus Emre Demirci, UM
In this talk, I will focus on the stability, approximation, and robustness of optimal policies in partially observable Markov decision...
Optimal Contract, Delegated Investment, and Information Acquisition
Yuyang Zhang, UM
We study a model of delegated investment within a noisy rational expectations equilibrium framework. Portfolio managers can acquire costly...
Buying Time: Optimal Service Purchase and Retirement Timing in Defined Benefit Plans
Kristen Moore, UM
We study retirement timing decisions in a defined benefit (DB) pension plan with a service-purchase...
Quantitative propagation of chaos and universality for asymmetric Langevin spin glass dynamics
Manuel Arnese
We obtain quantitative estimates on quenched propagation of chaos for Langevin spin glass dynamics with i.i.d. disorder. Prior work in the...
Robust and Risk-Sensitive Acceleration in Gradient Methods
Mert Gurbuzbalaban, Rutgers
First-order methods such as gradient descent (GD) are foundational in optimization. In unconstrained problems with exact gradients,...
Kullback–Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
Ziqing Zhang, UM
We study the computation of static mean-field equilibria on a compact state space by formu-...
Exploratory Optimal Reinsurance under the Mean-Variance Criterion
Austin Riis-Due, Waterloo
This paper proposes a Reinforcement Learning (RL) approach to the optimal reinsurance problem...
A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem
Bixing Qiao, UM
In this talk, we consider a continuous-time Kyle-Back model which is a game between an insider and a market maker. The existing literature...
THE HEREDITARY LAWS OF LARGE NUMBERS
Ioannis Karatzas, Columbia University
The celebrated theorem of Komlos (1967) establishes L^1-boundedness as a sufficient condition for a sequence of measurable functions on a...
The optimal rate of convergence in mean field control
Sebatian Munoz, UCLA
I will discuss the sharp rate of convergence of the value functions of N-particle stochastic control problems to their mean field limit, for...
