News: Events

Mean Field Games Model for Cryptocurrency Mining

Speaker: Max Reppen, from Boston University Time: 04/08/21 ,2-2:50pm Zoom: 992 7853 8762 Abstract: We propose a mean field game model to study the question of how centralization of reward and computational power occur in the Bitcoin-like cryptocurrencies. Miners compete against each other for mining rewards by increasing their computational power. This leads to a novel mean field […]



Biological and ecological models under stochastic perturbation, past dependence and spatial inhomogeneity: Modeling and longtime characterization

Speaker: Nhu N. Nguyen from University of Connecticut Time: 04/22/21, 2-2:50pm Zoom : 992 7853 8762 Abstract: The dynamics of many models in Biology and Ecology such as: epidemic models, tumor-immune models, chemostat models, prey-predator models, competitive models, and among others can be mathematically described. The earliest and simplest mathematical models are given by ordinary differential equations (ODE). Long-standing […]



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. […]



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 […]



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 […]



AWM Panel on Summer Opportunities

This academic year, our AWM Student Chapter is excited to be running a four-part Personal and Professional Development Series for Women in Mathematics (supported by the Women’s Impact Network). The first part of this series on Summer Opportunities for Women in Mathematics will be held on Monday, Sept. 21, 11:00 AM – 12:00 PM, on […]



Prof. Suzanne L. Weekes Named SIAM Executive Director

Former CIMS Director and CIMS member Suzanne Weekes has been named the Executive Director of the Society for Industrial and Applied Mathematics (SIAM).  In Prof. Weekes’s words: “SIAM has always been a special and important organization to me, personally and professionally. In fact, the SIAM Annual Meeting was the first conference I attended when I […]



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