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Tomasz R. Bielecki - Department of Applied Mathematics, Illinois Institute of Technology
Oct 30, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
A very interesting class of stochastic processes was introduced in 1971 by Alan Hawkes. These processes, called now Hawkes processes, are meant to model self-exciting and mutually-exciting random phenomena that evolve in time. The self-exciting phenomena are modeled as univariate Hawkes processes,... read more
Maxim Bichuch - Department of Applied Mathematics and Statistics, Johns Hopkins University
Oct 29, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
In a crisis when faced with insolvency, banks can issue shares/sell their treasury stock in the stock market and borrow money in order to raise funds. We propose a simple model to find the maximum amount of new funds the bank can raise in this way. To do this we incorporate market confidence of the... read more
Jeffrey Larson - Argonne National Laboratory
Oct 29, 2018 - 12:45pm to 1:45pm
Center for Interdisciplinary Scientific Computation (CISC) - Seminar - Rettaliata Engineering Center, Room 106
The increase in computational resources in the past decades has resulted in computationally expensive numerical simulations appearing in nearly all scientific domains. Often times, domain scientists wish to identify inputs to the simulation that produce some form of optimal behavior. In this talk,... read more