Sequential optimal contracting in continuous time
Guillermo Alvarez, UM
In this talk I will present a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different...
Stochastic Optimal Transport and the Stefan Problem
Raymond Chu, UCLA
We consider an optimal transport problem driven by a Lévy process with long-range jumps, aiming to minimize a cost functional that depends...
Multilevel Approximation Schemes for Value-at-Risk and Expected Shortfall
Azar Louzi/ Université Paris Cité
Evaluating the risk associated to a portfolio is important to...
An H-theorem for a conditional McKean-Vlasov process related to interacting diffusions on regular trees.
Kevin Hu, Brown
Conditional McKean-Vlasov equations (CMVE) are nonlinear stochastic processes with applications to mean-field games with common noise,...
On the mean-field limit of diffusive games through the master equation: extreme value analysis
Nikolaos Kolliopoulos/ UM
We consider an N-player game where the players control the drifts of their diffusive states which have no interaction in the noise terms....
