Programme

Monday, Jan. 28th

• 10.00-10.05 Opening
  • 10.05-10.50 Ari Arapostathis, University of Texas at Austin,
    • An approach to infinite horizon risk-sensitive control of diffusions via the study of principal eigenvalues of elliptic operators
• 11.00-11.45 Vivek Borkar, Indian Institute of Technology, Mumbai,
  • Relative value iteration for ergodic control
• 12.00-12.45 Andrzej Świech, Georgia Institute of Technology
  • Coupling distance between Levy measures and uniqueness of viscosity solutions of non-local HJB equations
• 13.00 Lunch
• 15.00-15.45 Soren Christensen, University of Hamburg,
  • On time-inconsistent stopping problems and mixed strategy stopping times
• 16.00-16.45 Denis Belomestny, Duisburg-Essen University,
  • Tractability of continuous time optimal stopping problems

Tuesday, Jan. 29th

• 10.00-10.45 Bohdan Maslowski, Charles University Prague,
  • Filtering and Parameter Estimation for Linear SPDEs driven by Gauss-Volterra Processes
• 11.00-11.45 Tyrone E. Duncan, University of Kansas,
  • Solvable Stochastic Differential Games with Gauss-Volterra Noise
• 12.00-12.45 Bozenna Pasik-Duncan, University of Kansas,
  • Ergodic Control of a Linear Equation with Rosenblatt Noise
• 13.00 Lunch
• 15.00-15.45 Nicole Bauerle, Karslruhe Institute of Technology,
  • Portfolio Optimization in Fractional and Rough Heston Models
• 16.00-16.45 Teemu Pennanen, King's College London,
  • Optimal stopping without Snell envelopes

Wednesday, Jan. 30th

• 10.00-10.45 George Yin, Wayne State University,
  • Maximum Principle for Switching Diffusions with Applications to Mean-Field Controls
• 11.00-11.45 Qing Zhang, University of Georgia,
  • Switching Between A Pair of Stocks: An Optimal Trading Rule
• 12.00-12.45 Jiongmin Yong, University of Central Florida,
  • Equilibrium Strategies of Time-Inconsistent Optimal Control Problems
• 13.00 Lunch
• 14.30 walking excursion

Thursday, Jan. 31st

• 10.00-10.45 Youssef Ouknine, University Mohammed 6 Polytechnique,
  • Marrakech, Morocco, Non linear optimal stopping problem and Reflected BSDE in the predictable setting
• 11.00-11.45 Tomasz Klimsiak, University of Toruń,
  • Reflected BSDEs approach to generalized Dynkin games
• 12.00-12.45 Jan Palczewski, University of Leeds,
  • Value of a Dynkin game with asymmetric information
• 13.00 Lunch
• 15.00-15.45 Yuliya  Mishura, University of Kiev,
  • Application of Malliavin calculus  to exact and approximate  option pricing under stochastic volatility
• 16.00-16.30 Anton Yurchenko-Tytarenko, University of Kiev,
  • Construction and properties of Fractional Cox-Ingersoll-Ross Process driven by fractional Brownian motion with H>1/2
• 16.45-17.30 Miklos Rasonyi, Renyi Institute HAS,
  • Recent advances about the stochastic gradient Langevin dynamics
• 17.45-18.30 Anna Jaśkiewicz, Wroclaw University of Technology,
  • Markov decision processes with quasi-hyperbolic discounting
• 18.30 catering conference dinner at IMPAN

Friday, Feb. 1st

• 10.00-10.45 Maurice Robin, Universite Paris-Saclay,
  • On ergodic impulse control with constraint, the locally compact case
• 11.00-11.45 Francois Dufour, Universite Bordeaux,
  • The expected total reward criterion for Markov decision processes under constraints
• 12.00-12.45 Daniel Hernandez-Hernandez, Centro de Investigación en Matematicas (CIMAT),
  • Zero-sum finite games with risk-sensitive average criterion: average cost limits
• 13.00 Lunch
• 15.00-15.45 Krzysztof Szajowski, Wroclaw University of Technology,
  • Bayesian optimal control for a non-autonomous stochastic discrete time system
• 16.00-16.45 Łukasz Stettner, IMPAN,
  • Bellman equations for scalar linear convex stochastic control problems