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Research Seminars

Below is the schedule of our weekly reserach seminar "Stochastic Analysis and Stochastics of Financial Markets". The seminar is jointly organized with the TU Berlin.

19. July 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Anton Bovier (Bonn)
Standard stochastic models of adaptive dynamics are based on haploid reproduction schemes. They are sometimes criticised for the difficulty to create genetic diversity.
13. July 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Hamed Amini (University of Miami)
We derive rigorous asymptotic results for the magnitude of contagion in a large financial network and give an analytical expression for the asymptotic fraction of defaults, in terms of network charact
13. July 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Nicole Bäuerle (Karlsruher Institut für Technologie (KIT))
We consider the problem of minimizing a certainty equivalent of the total or discounted cost over a finite time horizon which is generated by a Partially Observable Markov Decision Process (POMDP).
5. July 2017
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Ilya Goldsheid (London)
It is well known that a random walk in random environment on a strip in the environment viewed from the particlesetting is a Markov chain on the set of environments.
29. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Johannes Muhle-Karbe (University of Michigan)
In the perturbation analysis of various models with small frictions, a crucial role is played by the risk tolerance of the indirect utility process.
29. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Francesca Biagini (LMU München)
We study the concept of financial bubble under model uncertainty. We suppose the agent to be endowed with a family Q of local martingale measures for the underlying discounted asset price.
15. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Carlos Oliveira (Universidade de Lisboa & HU Berlin)
This work provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion.
15. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Huyen Pham (Université Paris Diderot)
We study and revisit the optimal control problem of partially observed stochastic systems.
7. June 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Stefan Adams (University of Warwick)
We study scaling limits and corresponding large deviation principles of integrated random walks perturbed by an attractive force towards the origin.
1. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Antonis Papapantoleon (TU Berlin)
We consider a multivariate random variable with known marginals and unknown dependence structure.

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