Programme de la rencontre WS3





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Mercredi 22 mai

09h15-09h55 Shige Peng : G-Sobolev Spase, BSDE & PPDE

10h00-10h30 Inscription (et café)

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 Repas

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 Pause café

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 Présentation de posters

19h00-21h00 Buffet de bienvenue au club des professeurs de l'Université de Rennes 1

Jeudi 23 mai

09h15-09h55 Emmanuel Gobet : Recent advances in empirical regression schemes for BSDEs

10h00-10h30 Pause café

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 Repas

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 Pause café

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

Vendredi 24 mai

09h15-09h55 Gianmario Tessitore : Two cases of stochastic maximum principle in the optimal control of SPDEs

10h00-10h30 Pause café

10h30-11h10 Hanqing Jin : Backward Stochastic Differential Equations with Law Invariance

11h15-11h55 Monique Jeanblanc : Robust utility maximization in a discontinuous filtration

12h00-14h30 Repas

14h30-15h10 Peter Imkeller : On the Skorokhod embedding problem and FBSDE

15h15-15h55 Patrick Cheridito : BSDEs with regular terminal conditions

16h00-16h30 Pause café