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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.

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.
1. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Fabrizio Durante (Università del Salento)
We present both old and recent results about singular copulas and copulas with a singular component by discussing their relevance in (at least) three different domains.
24. May 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Christof Külske (Ruhr-Universität Bochum)
We study Gibbs distributions of continuous spins on generalized random graphs. Our main interest lies in the critical behavior of models which show a second order phase transition.
18. May 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Alexandré Popier (Université Lemans, France)
In this talk we present an optimal stochastic control problem related to portfolio liquidation problems.
18. May 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Michaela Szoelgyenyi (Vienna University of Economics and Business)
When solving certain stochastic control problems in insurance mathematics or mathematical finance, the optimal control policy sometimes turns out to be of threshold type, meaning that the control depe
4. May 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Ariel Neufeld (ETH Zürich)
We present a tractable framework for Knightian uncertainty, the so-called nonlinear Lévy processes, and use it to formulate and solve problems of robust utility maximization for an investor with logar
26. April 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Andrey Pilipenko (Kiev Polytechnic Institute)
The identification problem of the limit of an ODE with non-Lipschitz drift perturbed by a zero-noise is considered in a multidimensional framework.

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