A SYMPOSIUM ON OPTIMAL STOPPING JUNE 25-29, 2018
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Schedule and Themes

Tentative Conference Schedule  (Updated June 24, 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) R
andomization 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.


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A SYMPOSIUM ON OPTIMAL STOPPING
June 25-29, 2018
​Rice University, Houston, Texas

  • Home
  • Pictures
  • Venue
  • In Memory of Larry Shepp
  • Speakers
  • Schedule and Themes
  • Abstracts
  • Sponsorship
  • Contact
  • Houston