Program of the meeting WS3





Click on the title to download the slides of the talk.

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