Event Types
Location
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...
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,...
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...
