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Topics in SDEs and their link to (S)PDEs

LMS Celebrating New Appointment Workshop - 19 September 2016

Organised by Elena Issoglio, University of Leeds.

Where and When

A short workshop will be held in the MALL (Level 8) of the School of Mathematics at the University of Leeds on Monday 19 September 2016 from 12:00.

Aim of the Workshop

The aim of this event is to present some of the current results in the research area of stochastic analysis. In particular, we will discuss about stochastic differential equations, forward-backward stochastic differential equations, stochastic partial differential equations, the interplay between these areas and some of their various applications (e.g. financial mathematics).  We want to bring together researchers from the north of England with an interest in stochastic analysis, particularly young researchers, to stimulate discussions and possibly start new collaborations. 

Speakers

Plenary: 

  • Goncalo Dos Reis (The University of Edinburgh)
  • Elena Issoglio (Univeristy of Leeds)
  • Francesco Russo (ENSTA-ParisTech)

 

Contributed:

  • Gaurav Dhariwal (University of York)
  • Peter Johnson (The University of Manchester)
  • Shi Qiu (The University of Manchester)

 

Programme

12:00-13:00 - Buffet lunch

13:00-13:45 - Russo, F. - BSDEs, càdlàg martingale problems and mean-variance hedging under basis risk
13:45-14:30 - Issoglio, E. - Forward-Backward SDEs with distributional coefficients
14:30-14:50 - Shi, Q. - American Eagle Options

14:50-15:30 - Coffee Break

15:30-16:15 - Dos Reis, G. - Ideas on pathwise directional derivatives beyond Cameron-Martin directions
16:15-16:35 - Dhariwal, G. - 2D Stochastic Constrained Navier-Stokes Equations
16:35-16:55 - Johnson, P. - Optimal Stopping in Mathematical Statistics

18:30 - Social Dinner


The full programme with abstracts can be downloaded here.

Registration

Anyone interested is welcome to attend. Registration is FREE but COMPULSORY. If you intend to take part please send an email to Elena at e.issoglio[at]leeds.ac.uk by Monday 12 September.

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The buffet lunch will be offered to all registered participants and it will be held in the Mathematics Department, Level 9 Foyer.

Financial Support

This meeting is kindly supported by an LMS Conference grant.
Partial 
travel funding is available for young researchers including PhDs and Post-Docs. Please ask Elena for further information about financial support.