Program of the meeting WS3



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Wednesday 22th

09h15-09h55 Shige Peng: G-Sobolev Spase, BSDE & PPDE
10h00-10h30 Registration (and coffee)
10h30-11h10 Marco Fuhrman: BSDEs and point processes
11h15-11h55 Adrien Richou: Numerical simulation of BSDEs with drivers of quadratic growth with respect to Z
12h00-12h20 Giuseppina Guatteri: Operator Valued BSDEs: a mild formulation
12h20-14h30 Lunch
14h30-15h10 Hao Xing: Large time behavior of solutions to HJB equations and multivariate portfolio turnpikes
15h15-15h55 Samuel Cohen: Uniformly Uniformly-ergodic Markov chains and BSDEs
16h00-16h30 Coffee break
16h30-17h10 Philippe Briand: Simulation of BSDEs and Wiener chaos expansions
17h15-17h55 Anis Matoussi: Reflected second order BSDE's and Dynkin game under uncertainty
18h00-19h00 Poster Session
19h00-21h00 Welcome reception / buffet in the Professors Common Room of Université de Rennes 1

Thursday 23th

09h15-09h55 Emmanuel Gobet: Recent advances in empirical regression schemes for BSDEs
10h00-10h30 Coffee break
10h30-11h10 René Carmona: Weak formulation for Mean Field Games
11h15-11h55 Huyên Pham: Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDE
12h00-12h20 Stefan Geiss: Decoupling on the Wiener space and applications to BSDEs
12h20-14h30 Lunch
14h30-15h10 Anthony Réveillac: BSDEs with weak terminal conditions and application to Finance
15h15-15h55 François Delarue: Large population stochastic control and BSDEs
16h00-16h30 Coffee break
16h30-17h10 Saïd Hamadène: Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral Obstacles
17h15-17h55 Michael Kupper: Existence and Duality of minimal Supersolutions under Model Uncertainty

Friday 24th

09h15-09h55 Gianmario Tessitore: Two cases of stochastic maximum principle in the optimal control of SPDEs
10h00-10h30 Coffee break
10h30-11h10 Hanqing Jin: Backward Stochastic Differential Equations with Law Invariance
11h15-11h55 Monique Jeanblanc: Robust utility maximization in a discontinuous filtration
12h00-14h30 Lunch
14h30-15h10 Peter Imkeller: On the Skorokhod embedding problem and FBSDE
15h15-15h55 Patrick Cheridito: BSDEs with regular terminal conditions
16h00-16h30 Coffee break

Partners

Irmar LMJL ENS Rennes LMBA LAREMA

Affiliation

ANR CNRS Rennes 1 Rennes 2 Nantes INSA Rennes INRIA ENSRennes UBO UBS Angers UBL