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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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Math-Fi seminar on 9 Aug.

2012.08.03 Fri up
  • Date: 9 Aug (Thu.)
  • Time: 16:30 — 18:00
  • Place: W.W. 7th-floor
  • Speaker: Hiroyuki Osaka
  • Title: On generalized Powers-St\ormer’s inequality

Math-Fi seminar on 2 Aug.

2012.07.30 Mon up
  • Date: 2 Aug (Thu.)
  • Time: 16:30 — 18:00
  • Place: W.W. 7th-floor
  • Speaker: Tomonori Nakatsu
  • Title: Boundary Evolution Equations for American Options
 

Math-Fi seminar on 19 Jul.

2012.07.13 Fri up
  • Date: 19 Jul. (Thu.)
  • Time: 16:30 — 18:00
  • Place: W.W. 7th-floor
  • Speaker: Takahiro Aoyama
  • Title: Some classes of infinitely divisible distributions on R^d
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Math-Fi seminar on 5 Jul.

2012.07.02 Mon up
  • Date: 5 Jul. (Thu.)
  • Time: 16:30 — 18:00
  • Place: W.W. 7th-floor
  • Speaker: Jun Sekine
  • Title: Some remarks on Bayesian optimal CRRA-utility
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