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Oct
9

Time-homogeneous Parabolic Anderson Model (PAM) in One Space Dimension

to Rettaliata Engineering Center, Room 121

Host Department of Applied Mathematics Speaker Hyun-Jung Kim Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology https://scholar.google.com/citations?user=dZ48Hz4AAAAJ&hl=en...

Sep
25

Stochastic Representations for Nonlocal Bellman Equations

to Rettaliata Engineering Center, Room 121

Host Department of Applied Mathematics Speaker Ruoting Gong Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology Description Stochastic representation formulas establish natural...

Sep
18

Gaussian Process Regression for XVA Estimation

to Rettaliata Engineering Center, Room 121

Host Department of Applied Mathematics Speaker Matthew Dixon Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology Description Modeling counterparty risk is computationally challenging...

Sep
11

Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains

to Rettaliata Engineering Center, Room 121

Host Department of Applied Mathematics Speaker Ziteng Cheng Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology www.iit.edu/applied-math/about/phd-students Description We consider a...

Mar
22

Filtering for Discrete Markov Chains

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Ziteng Cheng Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology Description The filtering theory regards estimating an unobservable...

Mar
1

A Dynamic Model of Central Counterparty Risk

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Shibi Feng Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology www.iit.edu/applied-math/about/phd-students Description We introduce a...

Feb
22

Parameter Estimation for Discretely Sampled SPDEs

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Yicong Huang Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology www.iit.edu/applied-math/about/phd-students Description We consider a...

Feb
8

Statistical Inference for Stochastic PDEs: An Overview (Part II)

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Igor Cialenco Department of Applied Mathematics, ÐÓ°ÉÔ­´´ Institute of Technology http://www.math.iit.edu/~igor/ Description Over the course of two or...