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Spring 2009 Seminars
Probability and Computational Finance SeminarsIf you have questions or suggestions about the seminar, please contact the organizers: Agoston Pisztora / Kavita Ramanan (Probability), Kasper Larsen / Dmitry Kramkov / Steven Shreve (Mathematical Finance). Further details for outside speakers or visitors. Schedule for Spring 2009Unless otherwise stated, the talks take place on Mondays at 5 P.M. in Wean Hall, 6423. Monday, January 26, 2009 Sergey Nadtochiy, Princeton University Time: 1:30 P.M. Monday, February 2, 2009Sebastien Darses*, Department of Mathematics, Boston University. TITLE: Stochastic derivatives and Partial Differential Equations ABSTRACT: We will introduce general notions of stochastic derivatives on stochastic processes. We will first show how the tools from Malliavin Calculus allow to study these objects. The involved techniques yield applications on various structures of the processes under study: gradient diffusions, asymptotic expansions of fractional SDE. Second, we will extend ODE on stochastic processes through these derivatives. We will focuse on the relationships between these stochastic equations and various PDE, including the NavierStokes equation. *job candidate Monday, February 9, 2009Dapeng Zhan*, Gibbs Assistant Professor, Department of Mathematics, Yale University. TITLE: Reversibility and duality of SLE ABSTRACT: Stochastic Loewner evolution (SLE) introduced by Oded Schramm is a breakthrough in studying the scaling limits of many twodimensional lattice models from statistical physics. In this talk, I will discuss the proofs of the reversibility conjecture and duality conjecture about SLE. The proofs of these two conjectures use the same idea, which is to use a coupling technique to lift local couplings of two SLE processes that locally commute with each other to a global coupling. And from the global coupling, we can clearly see that the two conjectures hold. *job candidate Wednesday, February 11, 2009Toufic Suidan*, Department of Mathematics, University of Arizona. TITLE: The symmetric polynuclear growth process and random matrix theory ABSTRACT: The polynuclear growth process (PNG), introduced and analyzed by Praehofer and Spohn, is a popular growth model studied in both mathematical physics and probability. I will describe both the PNG process and its symmetric analogue. I will then describe several random matrix type limit theorems on the fluctuations of the shape of the PNG droplet for the symmetric PNG process with a source. This description will interpolate between each of the classical random matrix ensembles and the Gaussian distribution. This is joint work with J. Baik, A. Borodin, and E. Rains. *job candidate Monday, February 16, 2009Vladimir Dubinin, Director, Deutsche Bank Title: Some theoretical and practical questions of algorithmic trading Monday, February 23, 2009Fred Espen Benth, Department of Mathematics, University of Oslo
Monday, March 2, 2009Fred Espen Benth, Department of Mathematics, University of Oslo.
Time: 5:30 P.M. Monday, March 16, 2009Lysbjerg Hansen, University of Southern DenmarkMonday, March 23, 2009Monday, March 30, 2009Terry Lyons, Oxford University.Monday, April 6, 2009Amarjit Budhiraja, University of North Carolina, Chapel HillElliottKalton Stochastic Differential Games Associated with the Infinity Laplacian Time: 5:00 P.M. Monday,
April 13, 2009
