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Annual Program Workshop
Stochastic Control, Computational Methods, and Applications
Date Title / Speaker
May 09, 2018 Average cost per unit time control problem of Markov processes with degenerate observation
Lukasz Stettner (Polish Academy of Sciences)
Annual Program Workshop
May 09, 2018 On ergodic impulse control with constraint
Maurice Robin (École Polytechnique)
Annual Program Workshop
May 09, 2018 On Stopping Times and Impulse Control with Constraint
Jose Menaldi (Wayne State University)
Annual Program Workshop
May 09, 2018 A variational formula for risk-sensitive control
Vivek Borkar (Indian Institute of Technology)
Annual Program Workshop
May 08, 2018 Equilibrium Strategies for Time-Inconsistent Stochastic Switching Systems
Hongwei Mei (University of Kansas)
Annual Program Workshop
May 08, 2018 Numerical approximation of average Markov decision processes in continuous-time
Francois Dufour (Université de Bordeaux I)
Annual Program Workshop
May 08, 2018 Control of discrete-time Markov jump linear systems with partial information
Oswaldo Costa (University of São Paulo (USP))
Annual Program Workshop
May 08, 2018 Time-Inconsistent Optimal Control Problems
Jiongmin Yong (University of Central Florida)
Annual Program Workshop
May 08, 2018 Hedging with friction
H. Mete Soner (ETH Zürich)
Annual Program Workshop
May 08, 2018 Subsolutions of a Hamilton-Jacobi- Bellman Equation and the Design of Rare Event Simulation Methods
Paul Dupuis (Brown University)
Annual Program Workshop
May 07, 2018 A Weak Convergence Approach to Inventory Control Using a Long-term Average Criterion
Chao Zhu (University of Wisconsin, Milwaukee)
Annual Program Workshop
May 07, 2018 On Merton Portfolio Optimization Problems
Shuenn-jyi Sheu (National Central University)
Annual Program Workshop
May 07, 2018 Large deviation control and an optimal investment model
Hideo Nagai (Kansai University)
Annual Program Workshop
May 07, 2018 Differential Games
Wendell Fleming (Brown University)
Annual Program Workshop
May 07, 2018 Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians
Daniel Hernandez-Hernandez (Center of Investigations in Mathematics (CIMAT))
Annual Program Workshop
Forecasting from Complexity
Date Title / Speaker
April 27, 2018 Relevant parameter changes in structural break models
Arnaud Dufays (Laval University)
Annual Program Workshop
April 27, 2018 Regularized Estimation in High-dimensional Time Series Models
Sumanta Basu (Cornell University)
Annual Program Workshop
April 27, 2018 Optimal Dimension Reduction for Vector and Functional Time Series
Marc Hallin (Université Libre de Bruxelles)
Annual Program Workshop
April 26, 2018 Geometric Statistics for High-Dimensional Data Analysis
Singdhansu (Ansu) Chatterjee (University of Minnesota, Twin Cities)
Annual Program Workshop
April 26, 2018 Fast Simulation based Estimation for Complex Models
Maria-Pia Victoria-Feser (Universite de Geneve)
Annual Program Workshop
April 26, 2018 Dynamic Shrinkage Processes
Daniel Kowal (Rice University)
Annual Program Workshop
April 26, 2018 Half-spectral space-time models
Joe Guinness (North Carolina State University)
Annual Program Workshop
April 26, 2018 Non-parametric Sparse Additive Auto-regressive Network Models
Garvesh Raskutti (University of Wisconsin, Madison)
Annual Program Workshop
April 26, 2018 Stochastic Simulation of Predictive Space-Time Scenarios of Wind Speed Using Observations and Physical Models
Mihai Anitescu (Argonne National Laboratory)
Annual Program Workshop
April 26, 2018 Inference for Spatio-Temporal Changes of Arctic Sea Ice
Noel Cressie (University of Wollongong)
Annual Program Workshop
April 25, 2018 Dynamic Filtering of Time-Varying Sparse Signals
Christopher Rozell (Georgia Institute of Technology)
Annual Program Workshop
April 25, 2018 Nonparametric inference for Hawkes processes. Applications for estimating functional connectivity graphs of neurons.
Vincent Rivoirard (Université Paris-Dauphine)
Annual Program Workshop
April 25, 2018 Deep Spatial Learning for Forensic Geolocation with Microbiome Data
Brian Reich (North Carolina State University)
Annual Program Workshop
April 25, 2018 Verification within Complexity: Comparing Spatial Fields
Eric Gilleland (National Center for Atmospheric Research)
Annual Program Workshop
April 25, 2018 Estimation of inhomogeneous point processes: Theory and applications
Mark Davenport (Georgia Institute of Technology)
Annual Program Workshop

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