Applications of Stochastic Control to Finance and Economics
Videos from BIRS Workshop
Camilo Hernández, Princeton University
Monday May 1, 2023 09:07 - 09:50
Propagation of chaos for Schrödinger problems with interacting particles
Zhenjie Ren, Université Paris Dauphine-PSL
Monday May 1, 2023 09:50 - 10:15
Uniform-in-time propagation of chaos for mean-field Langevin dynamics
Halil Mete Soner, Princeton University
Tuesday May 2, 2023 09:00 - 09:45
Viscosity solutions for the mean-field control
Alejandro Rivera, University of Texas at Dallas and University of California at Berkeley
Tuesday May 2, 2023 09:45 - 10:15
Contracting with a present-biased agent: Sannikov meets Laibson
Ali Lazrak, University of British Columbia
Tuesday May 2, 2023 10:30 - 11:12
Democratic policy decisions with decentralized promises contingent on vote outcome
Beatrice Acciaio, ETH Zurich
Tuesday May 2, 2023 11:16 - 11:37
Equilibria as solutions to Schrödinger problems
Constantinos Kardaras, London School of Economics
Tuesday May 2, 2023 13:02 - 13:42
Portfolio choice under taxation and expected market time constraint
Nabil Kazi-Tani, Université de Lorraine, IECL
Tuesday May 2, 2023 14:02 - 14:39
The role of correlation in diffusion control ranking games
Huyên Pham, Ecole Polytechnique
Tuesday May 2, 2023 14:40 - 15:02
Generative modeling for time series via Schrödinger bridge
Mihail Zervos, London School of Economics
Wednesday May 3, 2023 09:05 - 09:49
Market equilibrium under proportional transaction costs in a stochastic factor model
Stéphane Villeneuve, Toulouse School of Economics
Wednesday May 3, 2023 09:49 - 10:13
Money implements optimal contract
Umut Çetin, London School of Economics
Wednesday May 3, 2023 10:38 - 11:21
Order routing and market quality: Who benefits from internalization?
Alexander Bloedel, University of California Los Angeles
Thursday May 4, 2023 09:01 - 09:44
Persistent private information revisited
Hao Xing, Boston University
Thursday May 4, 2023 09:47 - 10:09
Reward and monitoring in dynamic contracts
René Aïd, Université Paris Dauphine–PSL
Thursday May 4, 2023 13:04 - 13:27
A stationary mean-field equilibrium model of irreversible investment
Paolo Guasoni, Dublin City University
Thursday May 4, 2023 13:28 - 13:52
Holding stocks, trading bonds
Julien Hugonnier, École Polytechnique fédérale de Lausanne
Thursday May 4, 2023 13:53 - 14:13
Asset pricing with costly short sales
Jianfeng Zhang, University of Southern California
Friday May 5, 2023 09:01 - 09:45
Viscosity solutions for fully nonlinear path dependent HJB equations on the Wasserstein space
Mehdi Talbi, ETH Zürich
Friday May 5, 2023 09:47 - 10:09
Mean field games of optimal stopping
