立命館大学数理科学科

セミナー

Math-Fi seminar on 23 Oct.

2012.10.18 Thu up

Date: 23 Oct. (Tue)
Place: W.W. 7th-floor 3rd lab.
Time: 16:30–18:00
Speaker: Azmi MAKHLOUF
Title: Estimates for the density of functionals of SDE’s with irregular drift.

日時： 11月2日(金) 　16:30 — 17:30
場所：ウエストウイング６階　数学物理系会議室１
講師：杉山倫（名古屋大学）
講演題目: ある単純アーベル多様体の非退化性について
講演要旨: 代数体上のアーベル多様体とその還元である有限体上のアーベル多様体に対して，それぞれHodge予想とTate予想と呼ばれる類似の予想がある。
アーベル多様体が「非退化」という性質を持つときには、これらの予想が正しいことが示されている。
本講演では、代数体上の単純アーベル多様体の非退化性とその還元の非退化性の関係について紹介する。

Math-Fi seminar on 11 Oct.

2012.10.08 Mon up

Date: 11 Oct. (Thu)
Place: W.W. 7th-floor 2nd lab.
Time: 16:30–18:00
Speaker:Syouta Mizukami (東京理科大学大学院理工学研究科)
Title: Generalized Hurwitz zeta distributions

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Math-Fi seminar on 20 Sep.

2012.09.18 Tue up

Date: 20 Sep(Thu)
Place: W.W. 7th-floor
Time: 15:00 — 17:30

15:00 — 16:00

Speaker: Jiao Ying
Title: Portfolio optimization with insider’s initial information
Abstract:

We consider an insider maximizing her expected utility with portfolio terminal wealth with information flow on the default of a counterparty.
We prove that if there is no limit for short-selling strategy, then the insider can achieve unbounded utility expectation.
So we propose suitable strategy constraint under which we study the optimization problem and compare the results with the case for a standard investor. This is a joint work with C. Hillairet.

16:30 — 17:30

Speaker: Vlad Bally
Title: Integration by parts formulas and regularity of probability laws( continuation )

Math-Fi seminar on 18 Sep. , 20 Sep. , 25 Sep. , 27 Sep. and 4 Oct.

2012.08.28 Tue up

Date: 18 Sep. (Tue), 20 Sep. (Thu), 25 Sep. (Tue), 27 Sep. (Thu), and 4 Oct. (Thu)
Place: W.W. 7th-floor
Time : 16:30-18:00
Speaker: Vlad Bally (Université de Marne-la-Vallée)
Title: Integration by parts formulas and regularity of probability laws

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Math-Fi seminar on 13 Sep.

2012.08.28 Tue up

Date: 13 Sep (Thu)
Place: W.W. 7th-floor
Time: 15:00 — 17:30

15:00 — 16:00

Speaker: Freddy Delbaen
Title: BSDE with unbounded terminal Value, Uniqueness Problem.
Abstract:

We consider a BSDE with convex driver that is quadratically bounded. If the terminal value has exponential moments higher than a critical exponent, then the solution exists and is unique. However the uniqueness problem remains open if the exponential moment only exists up to this critical exponent. This is joint work with Ying Hu and Adrien Richou.

16:30 — 17:30

Speaker: Eva Löcherbach
Title: Malliavin calculus and ergodicity of stochastic system forced by degenerate noises
Abstract:

We first have a fast review of Malliavin calculus, mainly on the existence and smoothness of density for degenerate SDEs. Then we briefly review strong Feller property, irreducibility, ergodicity of stochastic system and Doob’s method. Finally, we shall use Malliavin calculus to prove the ergodicity of some stochastic degenerate SDEs.

Math-Fi seminar on 6 Sep., 11 Sep. and 13 Sep.

2012.08.28 Tue up

Date : 6 Sep. (Thu.), 11 Sep. (Tue) and 13 Sep. (Thu.)
Place: W.W. 7th-floor
Time : 16:30-18:00
Speaker: Eva Leverbach (Cergy-Pontoise University)
Title: Dynamic Contract and Discretionary Termination Policy under Loss Aversion

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Math-Fi seminar on 24 Aug.

2012.08.24 Fri up

Date: 24 Aug (Fri.)
Time: 16:30–18:00
Place: W.W. 7th-floor
Speaker: Takashi KATO (Osaka University)
Title: Quantitative Operational Risk Management: Properties of Operational Value at Risk (OpVaR)

Math-Fi seminar on 17 Aug.

2012.08.16 Thu up

Date: 17 Aug(Fri.)
Time: 10:30–12:00 and 14:00–18:00
Place: W.W. 7th-floor
Speaker: Lihu Xu (Brunel University London)
Title: Malliavin calculus and ergodicity of stochastic system forced by degenerate noises

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Math-Fi seminar on 16 Aug.

2012.08.14 Tue up

Date: 16 Aug. (Thu)
Time: 16:30–18:00
Place: W.W. 7th-floor, 4th Lab.
Speaker: Kazuhiro Yasuda
Title: 確率インパルス制御問題の数値計算法について

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