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Kevin Webster - Citadel LLC
Sep 17, 2019 - 11:25am to 12:30pm
Department of Applied Mathematics - Seminar - TBD
We study two new applications of the Obizhaeva and Wang model using a new, simplified proof method. The first application covers the delta hedging of options in the presence of transient price impact. The second application solves the mean field game arising from the model. 
Jian-Guo Liu - Department of Mathematics & Department of Physics, Duke University
Sep 16, 2019 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Siegal Hall, Room 118
We develop Random Batch Methods (RBM) for large interacting particle systems with large number of particles. These methods use small but random batches for particle interactions, thus the computational cost is reduced from \(O(N^{2})\) per time step to \(O(N)\), for a system with \(N\) particles... read more
Noel J. Walkington - Department of Mathematical Sciences, Carnegie Mellon University
Sep 16, 2019 - 10:00am to 11:00am
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 034
This talk will review models and structural properties of the equations used to model geophysical flows which involve multiple components undergoing phase transitions. Simulations of these problems only model the gross properties of these flows since a precise description of the physical system is... read more