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DTSTART:20070311T020000
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BEGIN:VEVENT
DTSTAMP:20260819T202729
DTSTART;TZID=America/Detroit:20261118T160000
DTEND;TZID=America/Detroit:20261118T170000
SUMMARY:Workshop / Seminar:A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem
DESCRIPTION: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 typically focuses on constructing equilibria with a PDE approach\, which requires certain Markovian structures. We characterize all equilibria through a coupled system of forward-backward SDEs. In particular\, when the time duration is small\, we show that the FBSDE is well-posed\, and therefore the game has a unique equilibrium. Moreover\, this unique equilibrium may be non-Markovian and thus not attainable via the PDE approach. We next study the set value of the game\, which roughly speaking is the set of insider's values over all equilibria and thus is by nature unique. Finally\, we characterize the set value through a level set of a certain standard HJB equation.\nIn the second part of the talk\, we apply the new approach to the Kyle-Back model with dynamic legal risk and large numbers of noise traders. In this setting\, the insider chooses a strategy that conceals his identity within a large volume of surrounding trades and concentrates on medium-sized trades.  We establish an intensity-based mathematical framework for explaining the interconnections between insider trading and stealth trading. When the number of noise traders becomes large\, the price impact of the insider asymptotically vanishes\, and consequently the stochastic game becomes deterministic optimizations\, which also carry implications for regulatory investigations and sanctions.\n\nThe results above include the joint work with Weixuan Xia and with Jianfeng Zhang.
UID:149579-21906721@events.umich.edu
URL:https://events.umich.edu/event/149579
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
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BEGIN:VEVENT
DTSTAMP:20261011T180615
DTSTART;TZID=America/Detroit:20261202T160000
DTEND;TZID=America/Detroit:20261202T170000
SUMMARY:Workshop / Seminar:Inverse problems over probability measure space
DESCRIPTION:Inverse problems are ubiquitous. Traditionally\, the goal is to infer an unknown vector or function. But what if the unknown is a probability measure? Seeking a measure that generates data consistent with given observations leads to an optimization problem over probability space. However\, the complex geometric nature of this space prevents the direct use of standard arguments and solvers. We unravel some of the surprises that emerge in this setting and discuss potential solutions.
UID:149576-21906718@events.umich.edu
URL:https://events.umich.edu/event/149576
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20260727T104405
DTSTART;TZID=America/Detroit:20261209T160000
DTEND;TZID=America/Detroit:20261209T170000
SUMMARY:Workshop / Seminar:THE HEREDITARY LAWS OF LARGE NUMBERS
DESCRIPTION:The celebrated theorem of Komlos (1967) establishes L^1-boundedness as a sufficient condition for a sequence of measurable functions on a probability space to contain a subsequence along which\, and along whose every further subsequence (“hereditarily”)\, the Cesaro averages converge to a “randomized mean” in the spirit of the Strong law of Large Numbers. We provide conditions not only sufficient\, but also necessary\, for this result\, as well as for the hereditary analogues of the Weak Law of Large Numbers\, of the Hsu-Robbins-Erdos Law of Large Numbers\, and of the Law of the Iterated Logarithm. \n\nJoint work with I. Berkes (Budapest) and W. Schachermayer (Vienna).
UID:149577-21906719@events.umich.edu
URL:https://events.umich.edu/event/149577
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics,Statistics
LOCATION:East Hall - 1360
CONTACT:
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BEGIN:VEVENT
DTSTAMP:20260922T084512
DTSTART;TZID=America/Detroit:20270113T160000
DTEND;TZID=America/Detroit:20270113T170000
SUMMARY:Workshop / Seminar:TBA
DESCRIPTION:TBA
UID:152618-21914186@events.umich.edu
URL:https://events.umich.edu/event/152618
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20261009T132258
DTSTART;TZID=America/Detroit:20270120T160000
DTEND;TZID=America/Detroit:20270120T170000
SUMMARY:Workshop / Seminar:Regularization by Common Noise for Mean Field Games and Mean Field Control
DESCRIPTION:A fundamental challenge in the theory of mean field games (MFGs) is that equilibria are generally non-unique in the absence of monotonicity assumptions. In this talk\, we establish that an infinite-dimensional multiplicative common noise restores uniqueness for generic MFGs in one spatial dimension. Furthermore\, by exploiting the connection between mean field control (MFC) and potential MFGs\, we show that this common noise regularizes the MFC value function. Based on this regularity\, we then construct optimal feedback controls for the MFC problem. This talk is based on joint work with F. Delarue.
UID:153516-21915950@events.umich.edu
URL:https://events.umich.edu/event/153516
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
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BEGIN:VEVENT
DTSTAMP:20260807T120756
DTSTART;TZID=America/Detroit:20270217T160000
DTEND;TZID=America/Detroit:20270217T170000
SUMMARY:Workshop / Seminar:The optimal rate of convergence in mean field control
DESCRIPTION:I will discuss the sharp rate of convergence of the value functions of N-particle stochastic control problems to their mean field limit\, for merely Lipschitz mean field costs. For d ≥ 2\, the optimal rate is that of the empirical measures of i.i.d. samples in the 1-Wasserstein distance\, as conjectured by Daudin\, Delarue\, and Jackson\, and it persists with additive common noise. In dimension one\, this benchmark can surprisingly be beaten: cooperating particles outperform independent samples\, and the optimal exponent is 4/7\, strictly between the accuracy of independent sampling (N^{-1/2}) and that of quantization (N^{-1}). The proofs rely on a new control-theoretic technique of recoupled shadow flows and\, in dimension one\, on a Gibbs law implementing the cooperation and a Schrödinger ground-state estimate.
UID:149994-21907791@events.umich.edu
URL:https://events.umich.edu/event/149994
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20260821T200659
DTSTART;TZID=America/Detroit:20270224T160000
DTEND;TZID=America/Detroit:20270224T170000
SUMMARY:Workshop / Seminar:TBA
DESCRIPTION:TBA
UID:150752-21910069@events.umich.edu
URL:https://events.umich.edu/event/150752
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20260904T104356
DTSTART;TZID=America/Detroit:20270317T160000
DTEND;TZID=America/Detroit:20270317T170000
SUMMARY:Workshop / Seminar:TBA
DESCRIPTION:TBA
UID:151564-21911768@events.umich.edu
URL:https://events.umich.edu/event/151564
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20261015T211032
DTSTART;TZID=America/Detroit:20270324T160000
DTEND;TZID=America/Detroit:20270324T170000
SUMMARY:Workshop / Seminar:Ph.D. Defense (Title TBA)
DESCRIPTION:Title and abstract to be announced.
UID:153757-21916282@events.umich.edu
URL:https://events.umich.edu/event/153757
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
END:VEVENT
BEGIN:VEVENT
DTSTAMP:20260904T104603
DTSTART;TZID=America/Detroit:20270414T100000
DTEND;TZID=America/Detroit:20270414T110000
SUMMARY:Workshop / Seminar:TBA
DESCRIPTION:TBA
UID:151565-21911769@events.umich.edu
URL:https://events.umich.edu/event/151565
CLASS:PUBLIC
STATUS:CONFIRMED
CATEGORIES:Mathematics
LOCATION:East Hall - 1360
CONTACT:
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