Event Types
Location
Vector-valued robust stochastic control with applications to finance
Igor Cialenco/IIT
We study a dynamic stochastic control problem subject to Knightian uncertainty with multi-objective (vector-valued) criteria. Assuming the...
Sequential contracting in continuous time
Liwei Huang
In this presentation, I will address a continuous-time principal-agent problem featuring multiple lump-sum payments (contracts) scheduled at...
Van Eenam Lecture #2 Optimal Control of Conditional Processes
Rene Camona/Princeton University
In this talk, we consider the conditional control problem introduced by P.L. Lions in his lectures at the College de France in November...
Van Eenam Lecture #3 From Nash Equilibrium to Social Optimum and Back: A Mean Field Perspective
Rene Carmona (Princeton University)
Mean field games (MFG) and mean field control (MFC) problems have been introduced to study large populations of strategic players. They...
On the specific relative entropy between continuous martingales
Julio Backhoff/University of Vienna
The laws of two continuous martingales will typically be singular to each other and hence have infinite relative entropy. But this does not...
