Stochastic Analysis and its Applications

Videos from BIRS Workshop 18w5080

, London School of Economics
- 09:44
Diffusion transformations, Black-Scholes equation and optimal stopping
Watch video | Download video: 201805140859-Cetin.mp4 (55M)
, King's College London
- 10:23
Convex duality in nonlinear optimal transport
Watch video | Download video: 201805140951-Pennanen.mp4 (131M)
, Columbia University
- 11:47
Convergence to the Mean Field Game Limit: A Case Study
Watch video | Download video: 201805141100-Nutz.mp4 (198M)
, University of Edinburgh
- 12:37
Large Deviations for McKean Vlasov Equations and Importance Sampling
Watch video | Download video: 201805141149-dosReis.mp4 (191M)
, Università degli Studi di Padova
- 13:06
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Watch video | Download video: 201805141247-Callegaro.mp4 (72M)
, University of Vienna
- 16:32
Markovian representations of stochastic Volterra processes
Watch video | Download video: 201805141552-Cuchiero.mp4 (151M)
, The University Of Texas at Austin
- 09:41
Optimal investment and consumption with labor income or liability streams
Watch video | Download video: 201805150902-Sirbu.mp4 (179M)
, Ecole Polytechnique-CMAP
- 10:28
Optimal make-take fees for market making regulation
Watch video | Download video: 201805150948-Mastrolia.mp4 (169M)
, Rutgers
- 11:41
Incomplete Equilibrium with Stochastic Interest Rates
Watch video | Download video: 201805151101-Weston.mp4 (228M)
, Boston University
- 12:35
Equilibrium with Heterogeneous Information
Watch video | Download video: 201805151148-Robertson.mp4 (193M)
, University of Piraeus
- 13:16
Optimal investment and derivative demand and pricing under price impact
Watch video | Download video: 201805151243-Anthropelos.mp4 (144M)
, Princeton University
- 15:48
Particles interacting through their hitting times: neuron firing, supercooling and systemic risk
Watch video | Download video: 201805151502-Shkolnikov.mp4 (321M)
, University of California Santa Barbara
- 16:14
An Infinite-dimensional McKean-Vlasov Stochastic Equation
Watch video | Download video: 201805151551-Ichiba.mp4 (111M)
, ENSIIE ÉVRY
- 09:46
Optimal investment in an endogenous price impact model
Watch video | Download video: 201805160903-Pulido.mp4 (332M)
, Imperial College London
- 10:32
Pricing and Hedging in rough volatility models
Watch video | Download video: 201805160952-Jacquier.mp4 (303M)
, TU Wien
- 11:47
Martingale Benamou-Brenier: a probabilistic perspective
Watch video | Download video: 201805161100-BackhoffVeraguas.mp4 (209M)
, University of Oxford
- 12:16
Various formulations of martingale optimal transport problem in multi dimension
Watch video | Download video: 201805161150-Lim.mp4 (137M)
, University of Oxford
- 12:45
Computational Methods for Martingale Optimal Transport problems
Watch video | Download video: 201805161220-Obloj.mp4 (104M)
, Columbia University
- 13:10
Weak approximation by adapted process
Watch video | Download video: 201805161249-Lacker.mp4 (191M)
, University of Guanajuato
- 13:39
On the partial hedging of American options
Watch video | Download video: 201805161315-TrevinoAguilar.mp4 (97M)
, ETH Zurich
- 09:46
Short- and long-term relative arbitrage in stochastic portfolio theory
Watch video | Download video: 201805170902-Larsson.mp4 (193M)
, LSE
- 10:29
Filtration shrinkage, the structure of deflators, and the failure of market completeness
Watch video | Download video: 201805170952-Ruf.mp4 (139M)
, University Paris-Dauphine
- 12:07
Simple Transaction cost bounds
Watch video | Download video: 201805171145-Bouchard.mp4 (100M)
, Centro de Investigación en Matemáticas
- 12:32
Periodic strategies in optimal execution with multiplicative impact
Watch video | Download video: 201805171210-Hernandez.mp4 (89M)
, Imperial College London
- 13:32
Functional central limit theorems for rough volatility
Watch video | Download video: 201805171307-Horvath.mp4 (103M)
, Ecole Polytechnique
- 14:05
Volatility derivatives in rough forward variance models
Watch video | Download video: 201805171336-DeMarco.mp4 (131M)
, Aarhus University
- 15:42
High dimensional problems for continuous time models
Watch video | Download video: 201805171505-Podolskij.mp4 (244M)
, TU Wien
- 16:08
Measure-valued martingales and optimality of solutions to the Skorokhod embedding problem
Watch video | Download video: 201805171545-Kallblad.mp4 (134M)