Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques

Collection Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques

The last years have seen a period of important contributions in stochastic analysis motivated by the management of risks in finance and insurance.

New mathematical tools have been introduced, contributing both to pure research in applied mathematics and to a better understanding of practical problems. These include martingale optimal transport, path-dependent PDEs, new questions and methods in Skorohod embedding, new insights in homogenization for PDEs, probabilistic approaches for mean-field games, new problems in the analysis of random graphs, and other topics.

The aim of this workshop is to bring together leading researchers who have mainly contributed to these advances, well-established specialists of related fields, and young researchers who could contribute to new advances. The emphasis will be on new mathematical techniques, but we also be to invite some more applied researchers, who will be able to provide a critical point of view in terms of industrial applications.


Organizer(s) Bouchard, Bruno ; Cheridito, Patrick ; Schweizer, Martin ; Touzi, Nizar
Date(s) 13/11/2017 - 17/11/2017
linked URL https://conferences.cirm-math.fr/1730.html
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