- Date: 27 Jun. (Thu.)
- Place: W.W. 6th-floor, Colloquium Room
- Time: 15:30-16:30
- First Speaker: Jorge Ignacio González Cázares (The University of Warwick)
- Title: TBA (final lecture)
- Time: 16:30-17:30
- Second Speaker: Kiseop Lee (Purdue University)
- Title: Bond Prices with Insufficient Information
- Time: 17:30-18:30
- Final Speaker: Tomoyuki Ichiba (University of California, Santa Barbara)
- Title: Mean-field and tree interactions for stochastic volatility
- Abstract:
We shall discuss diffusions with mean-field interactions and interactions through a tree structure by introducing stochastic differential equations with distributional constraints. This class of system includes a system of directed chain stochastic differential equations, and it has an infinite-dimensional feature and so does the corresponding system of filtering equations we discuss. We approximate the system by particle systems, and apply the results for modeling stochastic volatility.
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