International conference "Stochastic Optimization and Optimal Stopping"

CONFERENCES

International conference "Stochastic Optimization and Optimal Stopping"
(September 24–28, 2012, Steklov Mathematical Institute of RAS, Moscow)

Fotogallery

E-mail:
Website: https://soandos.mi.ras.ru

Organizing Committee
Shiryaev Albert Nikolaevich (Chairman)
Beyer Natalia
Zhitlukhin Mikhail Valentinovich
Muravlev Alexey Anatol'evich
Tolozova Tatyana Borisovna
Yaskov Pavel Andreevich

Organisations
Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Research laboratory in Predictive Modeling and Optimization at PhysTech (PreMoLab), Moscow

International conference "Stochastic Optimization and Optimal Stopping", Moscow, September 24–28, 2012

Plenary talks

Extremal martingales. Stochastic optimization and optimal stopping Chris Rogers September 24, 2012 10:00 Moscow, Steklov Mathematical Institute of RAS
Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection Bernt Øksendal September 24, 2012 11:00 Moscow, Steklov Mathematical Institute of RAS
Asymptotically optimal discretization of hedging strategies with jumps Peter Tankov September 24, 2012 12:10 Moscow, Steklov Mathematical Institute of RAS
On a structure of a minimax test in testing composite hypotheses Alexander Gushchin September 24, 2012 13:10 Moscow, Steklov Mathematical Institute of RAS
Arrow-Debreu equilibria for rank-dependent utilities Xunyu Zhou September 25, 2012 10:00 Moscow, Steklov Mathematical Institute of RAS
Sequential hypothesis testing and disorder detection: past and future Alex G. Tartakovsky September 25, 2012 11:00 Moscow, Steklov Mathematical Institute of RAS
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games Erhan Bayraktar September 25, 2012 12:10 Moscow, Steklov Mathematical Institute of RAS
Optimal investment with random innovations Manuel Guerra September 25, 2012 13:10 Moscow, Steklov Mathematical Institute of RAS
Pricing of swing options in continuous time Christian Bender September 25, 2012 15:00 Moscow, Steklov Mathematical Institute of RAS
Stochastic differential games with mean field effect Alain Bensoussan September 26, 2012 10:00 Moscow, Steklov Mathematical Institute of RAS
Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDEs Huyên Pham September 26, 2012 11:00 Moscow, Steklov Mathematical Institute of RAS
Multilevel primal and dual approaches for pricing American options John Schoenmakers September 26, 2012 12:10 Moscow, Steklov Mathematical Institute of RAS
Stochastic optimization of sailing trajectories in an upwind regatta Robert C. Dalang September 27, 2012 10:00 Moscow, Steklov Mathematical Institute of RAS
From sequential analysis to optimal stopping — revisited Hans Rudolf Lerche September 27, 2012 11:00 Moscow, Steklov Mathematical Institute of RAS
Optimal dividend-payout in random discrete time Nicole Bäuerle September 27, 2012 12:10 Moscow, Steklov Mathematical Institute of RAS
Average-cost Markov Decision Processes with weakly continuous Eugene A. Feinberg September 27, 2012 15:00 Moscow, Steklov Mathematical Institute of RAS
Equilibrium stochastic behaviors in repeated games Arkady Kryazhimskiy September 28, 2012 10:00 Moscow, Steklov Mathematical Institute of RAS
Liquidity, equilibrium and asymmetric information Umut Çetin September 28, 2012 11:00 Moscow, Steklov Mathematical Institute of RAS
Optimal trade execution and price manipulation in order books with time-varying liquidity Mikhail Urusov September 28, 2012 12:10 Moscow, Steklov Mathematical Institute of RAS