{ "149579-21906721": { "datetime_modified":"20260729T153112", "datetime_start":"20260902T160000", "datetime_end":"20260902T170000", "has_end_time":1, "date_start":"2026-09-02", "date_end":"2026-09-02", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem", "occurrence_title":"", "combined_title":"A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem: Bixing Qiao, UM", "event_subtitle":"Bixing Qiao, UM", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "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.", "occurrence_notes":null, "guid":"149579-21906721@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149579", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906721 } , "149581-21906722": { "datetime_modified":"20260727T105626", "datetime_start":"20260909T160000", "datetime_end":"20260909T170000", "has_end_time":1, "date_start":"2026-09-09", "date_end":"2026-09-09", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"TBA", "occurrence_title":"", "combined_title":"TBA: Yunus Emre Demirci, UM", "event_subtitle":"Yunus Emre Demirci, UM", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"TBA", "occurrence_notes":null, "guid":"149581-21906722@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149581", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906722 } , "149582-21906724": { "datetime_modified":"20260727T110442", "datetime_start":"20260916T160000", "datetime_end":"20260916T170000", "has_end_time":1, "date_start":"2026-09-16", "date_end":"2026-09-16", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"TBA", "occurrence_title":"", "combined_title":"TBA: Yuyang Zhang, UM", "event_subtitle":"Yuyang Zhang, UM", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"TBA", "occurrence_notes":null, "guid":"149582-21906724@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149582", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906724 } , "149578-21906720": { "datetime_modified":"20260727T104702", "datetime_start":"20260923T160000", "datetime_end":"20260923T170000", "has_end_time":1, "date_start":"2026-09-23", "date_end":"2026-09-23", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"Buying Time: Optimal Service Purchase and Retirement Timing in Defined Benefit Plans", "occurrence_title":"", "combined_title":"Buying Time: Optimal Service Purchase and Retirement Timing in Defined Benefit Plans: Kristen Moore, UM", "event_subtitle":"Kristen Moore, UM", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"We study retirement timing decisions in a defined benefit (DB) pension plan with a service-purchase\noption. An employee who would otherwise retire at a fixed time T may elect to purchase L additional\nyears of service and retire early. Earlier retirement provides additional leisure but requires an upfront\npayment and typically results in a reduced post-retirement income stream. We model this trade-off in\na continuous-time retirement framework by allowing the employee to choose L to maximize the value\nof wealth and leisure at retirement in both deterministic and life-contingent settings. Our model\ncaptures a common feature of public pension systems: early retirement is often accompanied by both\nan upfront cost and a permanent reduction in benefits. We show that this structure yields tractable\nand intuitive results in several benchmark cases, including settings without mortality risk and settings\nwith mortality risk under simplifying assumptions. In more general cases, we characterize optimal\nbehavior through comparative statics and numerical examples. A key insight is that the interaction\nbetween the finite-horizon value of leisure and the lifetime cost embedded in pension pricing can\ngenerate a range of behaviors, including monotone strategies and interior optima. While many results\nalign with economic intuition, others require more careful interpretation. We also extend the model to\nallow for dynamic decision-making via a multi-period service-purchase option, solved by backward\ninduction. The results provide insight into optimal retirement timing and the role of plan design in\nshaping participant behavior. This is joint work with David Kausch and Virginia Young.", "occurrence_notes":null, "guid":"149578-21906720@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149578", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906720 } , "149663-21906910": { "datetime_modified":"20260729T153011", "datetime_start":"20260930T160000", "datetime_end":"20260930T170000", "has_end_time":1, "date_start":"2026-09-30", "date_end":"2026-09-30", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"Quantitative propagation of chaos and universality for asymmetric Langevin spin glass dynamics", "occurrence_title":"", "combined_title":"Quantitative propagation of chaos and universality for asymmetric Langevin spin glass dynamics: Manuel Arnese", "event_subtitle":"Manuel Arnese", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"We obtain quantitative estimates on quenched propagation of chaos for Langevin spin glass dynamics with i.i.d. disorder. Prior work in the case of Gaussian disorder established the qualitative convergence of the law of a single spin to a deterministic McKean--Vlasov limit. We prove convergence rates in expected Wasserstein distance and quantitative concentration rates for Lipschitz observables under the assumption that the disorder satisfies the T_2 inequality. The proof uses a coupling argument, together with techniques from concentration of measure, filtering theory, and Malliavin calculus.", "occurrence_notes":null, "guid":"149663-21906910@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149663", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906910 } , "141373-21888712": { "datetime_modified":"20260407T124520", "datetime_start":"20261007T160000", "datetime_end":"20261007T170000", "has_end_time":1, "date_start":"2026-10-07", "date_end":"2026-10-07", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"Robust and Risk-Sensitive Acceleration in Gradient Methods", "occurrence_title":"", "combined_title":"Robust and Risk-Sensitive Acceleration in Gradient Methods: Mert Gurbuzbalaban, Rutgers", "event_subtitle":"Mert Gurbuzbalaban, Rutgers", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"First-order methods such as gradient descent (GD) are foundational in optimization. In unconstrained problems with exact gradients, momentum-based methods\u2014most notably Nesterov\u2019s accelerated gradient descent (AGD) and Polyak\u2019s heavy-ball (HB) method\u2014achieve faster convergence by improving dependence on the condition number. However, this acceleration comes at a cost: momentum amplifies gradient noise, making these methods less robust than GD under standard parameter choices and requiring more accurate gradient estimates to attain comparable accuracy. Similar challenges arise in convex and nonconvex min\u2013max optimization.\nMotivated by applications in machine learning, this talk studies unconstrained and min\u2013max optimization under deterministic, unbiased stochastic, and biased stochastic gradient noise. I will present new algorithms that achieve optimal robustness against different noise types, using control-theoretic tools such as the H_2\u200b norm, the H_\u221e\u200b norm, and the risk-sensitivity index, together with coherent risk measures. I will also discuss worst-case noise constructions and high-probability convergence guarantees. This perspective builds a bridge between optimization and robust control theory and enables the design of noise-robust and risk-sensitive accelerated methods.\nRepresentative Publications:\nM. G\u00fcrb\u00fczbalaban, Y. Syed, N. S. Aybat, Accelerated gradient methods with biased gradient estimates: Risk sensitivity, high-probability guarantees, and large deviation bounds, Journal of Nonlinear and Variational Analysis, 2026 (Special Issue). https:\/\/jnva.biemdas.com\/archives\/2927\nM. G\u00fcrb\u00fczbalaban, Robustly Stable Accelerated Momentum Methods with a Near-Optimal L_2\u200b Gain and H_\u221e\u200b Performance, Mathematics of Operations Research, 2025.\nhttps:\/\/pubsonline.informs.org\/doi\/abs\/10.1287\/moor.2023.0321\nB. Can and M. G\u00fcrb\u00fczbalaban, Entropic risk-averse generalized momentum methods, Optimization Methods and Software, 2025. https:\/\/www.tandfonline.com\/doi\/abs\/10.1080\/10556788.2025.2549356", "occurrence_notes":null, "guid":"141373-21888712@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/141373", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21888712 } , "148617-21904532": { "datetime_modified":"20260608T221120", "datetime_start":"20261028T160000", "datetime_end":"20261028T170000", "has_end_time":1, "date_start":"2026-10-28", "date_end":"2026-10-28", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"TBA", "occurrence_title":"", "combined_title":"TBA: Zhenjie Ren, University of Evry", "event_subtitle":"Zhenjie Ren, University of Evry", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"TBA", "occurrence_notes":null, "guid":"148617-21904532@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/148617", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21904532 } , "149576-21906718": { "datetime_modified":"20260727T104513", "datetime_start":"20261202T160000", "datetime_end":"20261202T170000", "has_end_time":1, "date_start":"2026-12-02", "date_end":"2026-12-02", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"TBA", "occurrence_title":"", "combined_title":"TBA: Qin Li, University of Wisconsin-Madison", "event_subtitle":"Qin Li, University of Wisconsin-Madison", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "description":"TBA", "occurrence_notes":null, "guid":"149576-21906718@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149576", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906718 } , "149577-21906719": { "datetime_modified":"20260727T104405", "datetime_start":"20261209T160000", "datetime_end":"20261209T170000", "has_end_time":1, "date_start":"2026-12-09", "date_end":"2026-12-09", "time_start":"16:00:00", "time_end":"17:00:00", "time_zone":"America\/Detroit", "event_title":"THE HEREDITARY LAWS OF LARGE NUMBERS", "occurrence_title":"", "combined_title":"THE HEREDITARY LAWS OF LARGE NUMBERS: Ioannis Karatzas, Columbia University", "event_subtitle":"Ioannis Karatzas, Columbia University", "event_type":"Workshop \/ Seminar", "event_type_id":"21", "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 (\u201chereditarily\u201d), the Cesaro averages converge to a \u201crandomized mean\u201d 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).", "occurrence_notes":null, "guid":"149577-21906719@events.umich.edu", "permalink":"http:\/\/events.umich.edu\/event\/149577", "building_id":"1000166", "building_name":"East Hall", "campus_maps_id":"53", "room":"1360", "location_name":"East Hall", "has_livestream":0, "cost":"", "tags":["Mathematics","Statistics"], "website":"", "sponsors":[ { "group_name":"Financial\/Actuarial Mathematics Seminar - Department of Mathematics", "group_id":"4890", "website":"" } ], "image_url":"", "styled_images":{ "event_thumb":"", "event_large":"", "event_large_2x":"", "event_large_lightbox":"", "group_thumb":"", "group_thumb_square":"", "group_large":"", "group_large_lightbox":"", "event_large_crop":"", "event_list":"", "event_list_2x":"", "event_grid":"", "event_grid_2x":"", "event_feature_large":"", "event_feature_thumb":"" }, "occurrence_count":1, "first_occurrence":21906719 } }