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Graphon mean field systems: large population and long time limits

Speaker: Ruoyu Wu from Iowa State University Time: 03/11/2021, 2pm – 2:50 Zoom: 992 7853 8762 Abstract: We consider heterogeneously interacting diffusive particle systems and their large population limit. The interaction is of mean field type with random weights characterized by an underlying graphon. The limit is given by a graphon particle system consisting of […]



Coalescence estimates for the corner growth model with exponential weights.

Speaker: Xiao Shen (University of Wisconsin Madison) Time: 03/04/2021, 2:00pm -2:50pm Zoom ID: 992 7853 8762 Abstract: We establish estimates for the coalescence time of semi-infinite directed geodesics in the planar corner growth model with i.i.d. exponential weights. There are four estimates: upper and lower bounds on the probabilities of both fast and slow coalescence on the correct spatial scale with exponent 3/2. […]



The BIG Math Network Industry Connection Series Office Hours

The BIG Math Network promotes careers in Business, Industry and Government to students and departments of the mathematical sciences, with support from five major societies: AMS, ASA, INFORMS, MAA, SIAM. We are pleased to announce free online events for students: BIG Math Network Industry Connection Series Interactive “office hours” with mathematical scientists working in industry.  […]



Optimal investment problem under behavioral setting: A Lagrange duality perspective

Speaker: Zhenyu Cui from Stevens Institute of Technology Time: 02/18/2021, 2:00pm -2:50pm Zoom ID: 992 7853 8762 Abstract:We consider the optimal investment problem with both probability distortion/weighting (e.g. inverse S-shaped probability weighting) and general non-concave utility functions (e.g. S-shape utility). The regular method to solve this type of problems is to apply the concavification technique and then […]



Pricing American Options Using Convex Risk Measures

Speaker: Hussein Nasralah from WPI Time:  12/10/2020 2-2:50pm Zoom: 992 7853 8762 Abstract: In this talk, we propose a definition for the price of an American option in an incomplete market using the methodology of indifference pricing.  In particular, we price options using dynamic monetary convex risk measures given by backward stochastic differential equations, with the driver […]



Itô’s formula for flow of measures on semimartingales

Speaker: Xiaoli Wei from UC Berkeley Time: 11/05/2020, 2:00pm -2:50pm Zoom: 992 7853 8762 Abstract: We state Itô’s formula along a flow of probability measures associated with general semimartingales. This extends recent existing results for flow of measures on Itô processes. Our approach is to first prove Itô’s formula for cylindrical polynomials and then use function […]



Sharing Profits in the Sharing Economy

Speaker: Gu Wang from WPI Time: 11/19/2020, 2:00 pm -2:50pm Zoom:  992 7853 8762 Abstract: A monopolist platform (the principal) shares profits with a population of affiliates (the agents), heterogeneous in skill, by offering them a common nonlinear contract contingent on individual output. The principal cannot discriminate across individual skill, but knows its distribution and aims […]



 A General Method for Valuation of Drawdown Risk under Markov Models

Speaker: Lingfei Li from Chinese University of Hong Kong Time: 10/8/2020, 9am-9:50am Abstract: We develop a novel algorithm for the analysis of drawdown in general one-dimensional Markovian models. We compute the Laplace transform of the first passage time of the drawdown process based on continuous time Markov chain (CTMC) approximation and numerically invert the Laplace […]



Margin Constraints, Default Aversion, and Optimal Hedging in Bitcoin Futures Markets

Speaker: Bin Zou from University of Connecticut Time: 10/22/2020, 2:00 – 2:50pm Zoom: 992 7853 8762 Abstract:  We incorporate margin constraint and default aversion into the study of Bitcoin futures. The margin constraint limits an investor’s ability to satisfy the margin requirement in futures trading, while losses exceeding the margin constraint leads to a default event. The […]



NSA Internship Opportunities – 2021

The National Security Agency has exceptional paid summer internships for undergraduate and graduate mathematics and statistics students to work on research and mission-critical problems vital to our nation’s security.  This announcement covers the requirements, application procedures, deadlines, and contact information.  To be considered for these great opportunities they have to apply online at https://www.intelligencecareers.gov/nsa .  Please note that the application […]



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