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Presented By: Department of Mathematics

Financial/Actuarial Mathematics Seminar

Rank-dependent diffusions and PDEs

In this talk, I will discuss rank-dependent diffusions. I will focus on two models: Up the River model and N-player games with fuel constraints. These problems require treating carefully the corresponding PDEs. The former is joint with Li-Cheng Tsai, and the latter joint with Xin Guo and Renyuan Xu. Speaker(s): Wenpin Tang (UCLA)

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