Impulse Control Problems: Solution and Modeling

Speaker: Chao Zhu from University of Wisconsin-Milwaukee Date and Time: 03/16/20, 4-5pm Room: SH306 Abstract: This talk starts with an optimal inventory control problem using a long-term average criterion. In absence of ordering, the inventory process is modeled by a one-dimensional diffusion on some interval of  (-∞, ∞) with general drift and diffusion coefficients and boundary points that are […]

Optimal Investments with Anticipative Information

Speaker: Mauricio Enrique Elizalde Mejía from Universidad Autónoma de Madrid Date and Time: 04/06/2020 Room: SH306 Abstract: We consider the case in which a trader has anticipative information about the value of a stock assumed to be driven by a Brownian motion. We show the usage of two different ways to model the problem; the first […]

Graphon Mean Field Games: A Dynamical Equilibrium Theory for a Networked World

Speaker: Peter Caines from McGill University Date and Time: 03/06/20, 11am-12 Room: SH203 Abstract: The complexity of large population multi-agent dynamical systems, such as occur in economics, communication systems, and environmental and transportation systems, makes centralized control infeasible and classical game theoretic solutions intractable. In this talk we first present the Mean Field Game (MFG) theory of large population […]

Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information.

Speaker: Scott Robertson from Boston University Date and Time: 02/24/20, 4-5pm Room: SH306 Abstract: In this talk, we consider equilibria in the presence of asymmetric information and misinformed agents (noise traders). We establish existence of two equilibria. First, a full communication one where the informed agents’ signal is disclosed to the market, and static policies are optimal. […]

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

Speaker: Tim Leung from UW-Seattle Date and Time: 03/23/2020,  4-5pm Abstract: A common challenge faced by many institutional and retail investors is to effectively control risk exposure to various market factors. There is a great variety of indices designed to provide different types of exposures across sectors and asset classes. Some of these indices can be difficult […]

Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization

Speaker: Lingjiong Zhu from Florida State University Date and Time: 11/05/2019,  4-5pm Abstract: Stochastic gradient Hamiltonian Monte Carlo (SGHMC) is a variant of stochastic gradient with momentum where a controlled and properly scaled Gaussian noise is added to the stochastic gradients to steer the iterates towards a global minimum. Many works reported its empirical success […]

Limit Theorems and Regenerative Processes

Speaker: Ju-yi Yen from University of Cincinnati Date and Time: 10/29/19, 4-5pm Abstract:In this talk, we present limit theorems related to integrals of functions taken at the values of Brownian motion. These limit theorems involve regenerative processes and the local time of the Brownian motion.

The Inverse First Passage Time Problem for killed Brownian motion

Speaker: Alex Hening from Tufts Date and Time: 10/08/19, 4-5pm Abstract: The inverse firat passage time problem asks whether, for a Brownian motion B and a nonnegative random variable ζ, there exists a time-varying barrier b such that P{B s > b(s), 0 ≤ s ≤ t} = P{ζ > t}. We study a ”smoothed” version […]

Actuarial Networking Night

We’re hosting our 5th annual Actuarial Networking Night in a few weeks, on Wednesday, September 11, at 5:00 pm in the Campus Center Odeum.  We have 16 companies sending representatives (often WPI grads!), plus we’ll  open this up to all of our current MAC and MA majors who may want to learn a bit more about […]

M.S. Thesis Presentation-Stephanie Martin, April 12, 3:00pm, SH202

Stephanie A. Martin will be presenting her M.S. Thesis topic on “Computational Characterization of Thermal Processes in an AlN:Mo Susceptor in a Millimeter Wave Heat Exchanger” on April 12, 2019 at 3:00pm in SH 202.