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Renming Song - Department of Mathematics, University of Illinois at Urbana-Champaign
Sep 6, 2018 - 2:00pm to 3:00pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 025
Consider the following time-dependent stable-like operator with drift \[\mathscr{L}_{t}\varphi(x) = \int_{\mathbb{R}^{d}}\left[\varphi(x+z)-\varphi(x)-z^{(\alpha)}\cdot\nabla\varphi(x)\right]\sigma(t,x,z)\nu_{\alpha}(dz)+b(t,x)\cdot\nabla\varphi(x),\] where \(d\geq 1\), \(\nu_{\alpha}\) is an \(\... read more
Thu.
9/6/18
Lujia Wang - Department of Mathematics, University of California at San Diego
Aug 29, 2018 - 12:45pm to 1:45pm
Department of Applied Mathematics - Seminar - TBA
A sunflower is a collection of distinct sets such that the intersection of any two of them is the same as the common intersection \(C\) of all of them, and \(|C|\) is smaller than each of the sets. There has been a lot of recent progress on determining the maximum size of a sunflower-free family of... read more
Wed.
8/29/18
Sergey Nadtochiy - Department of Applied Mathematics, Illinois Institute of Technology
Aug 28, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the optimal contract with respect to perturbations of the wealth process (interpreted as capital... read more
Tue.
8/28/18

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