Event Types
Location
Stochastic Models and Optimization for Dynamic Portfolio Management: A Compartment Framework for Financial Growth and Decision Support
Tirupathi Rao Padi (Pondicherry University)
Portfolio management is a dynamic decision-making problem characterized by uncertainty, evolving asset states, competing risk–return...
Policy Gradient Flow for Stochastic Control
Zhenjie Ren, University of Evry
Reinforcement learning has achieved remarkable success in landmark applications such as AlphaGo and AlphaFold, and is increasingly expected...
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...
Inverse problems over probability measure space
Qin Li, University of Wisconsin-Madison
Inverse problems are ubiquitous. Traditionally, the goal is to infer an unknown vector or function. But what if the unknown is a probability...
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...
Regularization by Common Noise for Mean Field Games and Mean Field Control
Lukas Wessels, Université Côte d’Azur
A fundamental challenge in the theory of mean field games (MFGs) is that equilibria are generally non-unique in the absence of monotonicity...
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...
