Tentative Conference Schedule (Updated June 16, 2018)
The following are the tentative themes of the optimal stopping talks in the symposium. They are subject to change with prior notice.
1) Optimal stopping and free boundary problems
a) PDEs and PIDEs solved by the value function
b) Randomization of time horizons, viscosity solutions, and variational inequalities
c) Characterizations of optimal stopping boundaries
2) Methods of solution
a) Smooth and continuous fit
b) The maximality principle
c) Fluctuation theory of Levy processes
d) Optimal stochastic control
3) Nonlinear and constrained optimal stopping
a) Finite horizon formulations of nonlinear optimal stopping problems
b) Optimal prediction problems and optimal stopping games in the nonlinear context
c) Dynamic optimality and time-consistent solutions
4) Applications
a) Sequential testing
b) Quickest detection
c) Regularity problems of optimal stopping in higher dimensions
d) Optimal prediction
e) Optimal detection of hidden targets
Two complementary key themes of the symposium are stochastic control and mathematical finance. Additional themes include statistical inference for stochastic processes, queueing systems, mathematical biology, and particle systems.
The following are the tentative themes of the optimal stopping talks in the symposium. They are subject to change with prior notice.
1) Optimal stopping and free boundary problems
a) PDEs and PIDEs solved by the value function
b) Randomization of time horizons, viscosity solutions, and variational inequalities
c) Characterizations of optimal stopping boundaries
2) Methods of solution
a) Smooth and continuous fit
b) The maximality principle
c) Fluctuation theory of Levy processes
d) Optimal stochastic control
3) Nonlinear and constrained optimal stopping
a) Finite horizon formulations of nonlinear optimal stopping problems
b) Optimal prediction problems and optimal stopping games in the nonlinear context
c) Dynamic optimality and time-consistent solutions
4) Applications
a) Sequential testing
b) Quickest detection
c) Regularity problems of optimal stopping in higher dimensions
d) Optimal prediction
e) Optimal detection of hidden targets
Two complementary key themes of the symposium are stochastic control and mathematical finance. Additional themes include statistical inference for stochastic processes, queueing systems, mathematical biology, and particle systems.