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IMA Video Library

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Annual Program Workshop
Stochastic Control, Computational Methods, and Applications
Date Title / Speaker
May 11, 2018 Linear-quadratic control for bilinear evolution equations with Gauss-Volterra processes
Bozenna Pasik-Duncan (University of Kansas)
 Annual Program Workshop
May 11, 2018 Some Explicitly Solvable Stochastic Differential Games
Tyrone Duncan (University of Kansas)
 Annual Program Workshop
May 10, 2018 Optimal Harvesting Strategies for a Predator-Prey System in Fluctuating Environments.
Dang Hai Nguyen (Wayne State University)
 Annual Program Workshop
May 10, 2018 Data Assimilation for High Dimensional Systems – Challenges, algorithms and opportunities
Wei Kang (Naval Postgraduate School)
 Annual Program Workshop
May 10, 2018 On the independence of the value function for stochastic differential games of the probability space
Nicolai Krylov (University of Minnesota, Twin Cities)
 Annual Program Workshop
May 10, 2018 Minimum Energy Estimation Applied to the Lorenz Attractor
Arthur Krener (Naval Postgraduate School)
 Annual Program Workshop
May 09, 2018 Deep Learning-Based Numerical Methods for High-Dimensional Stochastic Control Problems and Parabolic PDEs
Jiequn Han (Princeton University)
 Annual Program Workshop
May 09, 2018 Discrete-Time Hybrid Control Models
Hector Jasso-Fuentes (CINVESTAV)
 Annual Program Workshop
May 09, 2018 Numerical Approximations for Minimax Markov Control Problems
Tomás Prieto Rumeau (Universidad Nacional de Educación a Distancia (UNED))
 Annual Program Workshop
May 09, 2018 Average cost per unit time control problem of Markov processes with degenerate observation
Lukasz Stettner (Polish Academy of Sciences)
 Annual Program Workshop
May 09, 2018 On ergodic impulse control with constraint
Maurice Robin (École Polytechnique)
 Annual Program Workshop
May 09, 2018 On Stopping Times and Impulse Control with Constraint
Jose Menaldi (Wayne State University)
 Annual Program Workshop
May 09, 2018 A variational formula for risk-sensitive control
Vivek Borkar (Indian Institute of Technology)
 Annual Program Workshop
May 08, 2018 Equilibrium Strategies for Time-Inconsistent Stochastic Switching Systems
Hongwei Mei (University of Kansas)
 Annual Program Workshop
May 08, 2018 Numerical approximation of average Markov decision processes in continuous-time
Francois Dufour (Université de Bordeaux I)
 Annual Program Workshop
May 08, 2018 Control of discrete-time Markov jump linear systems with partial information
Oswaldo Costa (University of São Paulo (USP))
 Annual Program Workshop
May 08, 2018 Time-Inconsistent Optimal Control Problems
Jiongmin Yong (University of Central Florida)
 Annual Program Workshop
May 08, 2018 Hedging with friction
H. Mete Soner (ETH Zürich)
 Annual Program Workshop
May 08, 2018 Subsolutions of a Hamilton-Jacobi- Bellman Equation and the Design of Rare Event Simulation Methods
Paul Dupuis (Brown University)
 Annual Program Workshop
May 07, 2018 A Weak Convergence Approach to Inventory Control Using a Long-term Average Criterion
Chao Zhu (University of Wisconsin, Milwaukee)
 Annual Program Workshop
May 07, 2018 On Merton Portfolio Optimization Problems
Shuenn-jyi Sheu (National Central University)
 Annual Program Workshop
May 07, 2018 Large deviation control and an optimal investment model
Hideo Nagai (Kansai University)
 Annual Program Workshop
May 07, 2018 Differential Games
Wendell Fleming (Brown University)
 Annual Program Workshop
May 07, 2018 Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Daniel Hernandez-Hernandez (Center of Investigations in Mathematics (CIMAT))
 Annual Program Workshop
Forecasting from Complexity
Date Title / Speaker
April 27, 2018 Relevant parameter changes in structural break models
Arnaud Dufays (Laval University)
 Annual Program Workshop
April 27, 2018 Regularized Estimation in High-dimensional Time Series Models
Sumanta Basu (Cornell University)
 Annual Program Workshop
April 27, 2018 Optimal Dimension Reduction for Vector and Functional Time Series
Marc Hallin (Université Libre de Bruxelles)
 Annual Program Workshop
April 26, 2018 Geometric Statistics for High-Dimensional Data Analysis
Singdhansu (Ansu) Chatterjee (University of Minnesota, Twin Cities)
 Annual Program Workshop
April 26, 2018 Fast Simulation based Estimation for Complex Models
Maria-Pia Victoria-Feser (Universite de Geneve)
 Annual Program Workshop
April 26, 2018 Dynamic Shrinkage Processes
Daniel Kowal (Rice University)
 Annual Program Workshop

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