Department of Statistics, School of Mathematical Sciences
Stochastic Analysis Group Seminar


Travel Information


Programme

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2017-2018 Spring Semester (Contact: Yiqing Lin)

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March 13th, 2018, 15:00 - 16:00
Speaker: Prof. Anis Matoussi (Université du Maine, Le Mans, France)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Probabilistic interpretation for solutions of fully nonlinear SPDEs
Abstract: We propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE). We prove existence and uniqueness of the solution under a Lipschitz type assumption on the generator, and we investigate the links between the 2BDSDEs and a class of parabolic fully nonlinear Stochastic PDEs. Precisely, we show that the Markovian solution of 2BDSDEs provide a probabilistic interpretation of the classical and stochastic viscosity solution of fully nonlinear SPDEs. The talk is based on a joint work with Dylan Possamai (Columbia University) and Wissal Sabbagh (University of Evry-Paris-Saclay).

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March 23th, 2018, 11:00 - 12:00
Speaker: Prof. Xin Guo (UC Berkeley, U.S.A.)
Place: Shangyuan 103, Minhang Campus, SJTU

Title:
Algorithm tradings: some mathematical and statistical problems
Abstract: Algorithm tradings have recently been one of the central topics in mathematical and statsitical  finance. In this talk, after giving a general intrduction to algorithm tradings and related limit order books, I will discuss two main mathematical probelms: optimal execution and optimal placement. I will then continue with the modelings issues of limit order books and comparing  LOBs models with the classical heavy-traffic-limit queuing models. I will finally discuss  some challenging statistical issues in algorithm tradings.

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April 10th, 2018,  14:00 - 15:00
Speaker: Dr. Bangxian Han (Bonn University, Germany)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Structure of metric measure spaces with lower Ricci curvature bound: background, results and open problems
Abstract: Firstly, I will introduce new ideas and techniques in studying the curvature- dimension condition of (non-smooth) metric measure space. Then I will talk about some recent progress about the structure theory of metric measure spaces with lower Ricci curvature bound. In addition, we will discuss some interesting open problems and their difficulties.

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April 17th, 2018, 16:00 - 17:00
Speaker: Dr. Gechun Liang (University of Warwick, UK)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Exponential utility maximization and indifference valuation with unbounded payoffs
Abstract: We solve an exponential utility maximization problem with unbounded payoffs and portfolio constraints, via the theory of quadratic backward stochastic differential equations with unbounded terminal data. This  generalizes the previous work of Hu et al. (2005) [Ann. Appl. Probab. 15, 1691--1712] from the bounded to an unbounded framework. Furthermore, we study utility indifference valuation of financial derivatives with unbounded payoffs, and derive a novel convex dual representation of the prices. In particular, we obtain new asymptotic behavior as the risk aversion parameter tends to either zero or infinity. This talk is based on the joint work with Ying Hu and Shanjian Tang.

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April 23th-27th, 2018

The Fourth Young Researchers Meeting on BSDEs, Nonlinear Expectations and Mathematical Finance

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May 8th, 2018, 16:00 - 17:00
Speaker: Dr. Nina Amini (CNRS - CentraleSupelec, France)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Quantum feedback control and filtering problem
Abstract: Recent theoretical and experimental advancements have shown the importance of estimation and control theory to study quantum dynamics even thought this gives rise to unusual models that have not been completely explored yet. The new theoretical and experimental results can lead to the development of new quantum technologies, e.g. quantum computer, cryptography, and quantum memory. In quantum control, we can apply different strategies to design a feedback. Measurement-based feedback and coherent feedback are the most common strategies. In this talk, we consider a controlled quantum system whose finite dimensional state is governed by a discrete-time nonlinear Markov process. By assuming the quantum non-demolition (QND) measurements in open-loop, we construct a strict control Lyapunov function which is based on the open-loop stationary states. We propose a measurement- based feedback scheme which ensures the almost sure convergence towards a target state. Moreover, I discuss the estimation and filtering problem for continuous-time quantum systems which are described by continuous-time stochastic master equations.

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 May 14th, 2018 14:00 - 18:00

Workshop on Mathematical Finance @ China Academy of Research for Finance - SAIF (Xuhui Campus, SJTU)
Please send an email to Dr. Samuel Drapeau for REGISTRATION

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May 22nd, 2018, 16:00 - 17:00
Speaker: Dr. Antonis Papapantoleon (University of Athens, Greece)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Hadamard's program for BSDEs with jumps
Abstract: According to J. Hadamard's famous statement, an equation is well-posed if the following are satisfied: i) there exists a solution, ii) the solution is unique, iii) the solution depends continuously on the initial data. In this talk we carry out the three tasks of this program for BSDEs with jumps. More specifically, in the first part of this talk we will provide existence and uniqueness results for BSDEs with jumps driven by martingales that are stochastically discontinuous, hence we can treat BSDEs and BSΔEs in a unified and general framework. Then, we will present stability results for martingale representations. The final part consists of stability results for solutions of BSDEs not only with respect to the initial data, but also with respect to discretized versions of the driving martingale.

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May 29th, 2018, 16:00 - 17:00
Speaker: Prof. Juan-Pablo Ortega (University of St. Gallen, Switzerland)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Universality theorems in dynamic machine learning

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June 14th, 2018, 09:00 - 10:00
Speaker: Dr. Yiming Su (Zhejiang University of Technology)
Place: Medium meeting room, School of Mathematical Sciences, SJTU

Title: Asymptotic behavior for nonlinear Schrodinger system
Abstract: In this talk, we are concerned with the dynamics of the nonlinear Schrodinger system in the mass critical and subcritical setting. First, we construct finite time blow-up solutions with each component concentrating at different points in the mass critical setting. Second, we construct global solutions asymptotic to multi-solitary waves with different speeds in the mass subcritical setting.

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June 12th - July 11th, 2018 
Six mini courses provided by Prof. Huaizhong Zhao (Loughborough University, UK & SJTU, China)

Title: Random Periodicity and Ergodicity
Table of content:
1. Measure theoretical ergodic theory
2. Stochastic dynamical systems and ergodicity of Markov semi-groups
3. Random periodic paths and periodic measures
4. Ergodicity of periodic measures and its characterisation via spectral structure of infinitesimal generators
5. Sufficient and necssary conditions for PS-ergodicity

Contact: Dr. Dewen Xiong

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2017-2018 Spring Semester

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