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Events

Mykhaylo Shkolnikov - Department of Operations Research and Financial Engineering, Princeton University
Aug 23, 2018 - 11:25am to 12:45pm
Department of Applied Mathematics - Seminar - TBD
In this talk, I will present the recent advances in the study of particle systems with singular interaction through hitting times. Such systems appear naturally in the mathematical models for neuron cells, supercooled liquids, credit networks, etc. In contrast to the previous research, this work (i... read more
Thu.
Aug 23
Chao Zhu - Department of Mathematical Sciences, University of Wisconsin at Milwaukee
Aug 27, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
This work considers an optimal inventory control problem using a long-term average criterion. In absence of ordering, the inventory process is modeled by a one-dimensional diffusion on some interval of \((-\infty, \infty)\) with general drift and diffusion coefficients and boundary points that are... read more
Mon.
Aug 27
J, Thomas Beale - Department of Mathematics, Duke University
Sep 10, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
Finite difference methods are awkward for solving boundary value problems, such as the Dirichlet problem, with general boundaries, but they are well suited for interface problems, which have prescribed jumps across a general interface or boundary. The two problems can be connected through... read more
Mon.
Sep 10
Mike Ludkovski - Department of Statistics and Applied Probability, University of California at Santa Barbara
Sep 17, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
Simulation-based strategies bring the machine learning toolbox to numerical resolution of stochastic control models. I will begin by reviewing the history of this idea, starting with the seminal work by Longstaff-Schwartz and through the popularized Regression Monte Carlo framework. I will then... read more
Mon.
Sep 17
Weizhu Bao - Department of Mathematics, National University of Singapore
Sep 24, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
TBA
Mon.
Sep 24
Mickael Binois - Division of Mathematics and Computer Science, Argonne National Laboratory
Oct 15, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
An increasing number of time-consuming simulators exhibit a complex noise structure that depends on the inputs. To conduct studies with limited budgets of evaluations, new surrogate methods are required to model simultaneously the mean and variance fields. To this end, we present recent advances in... read more
Mon.
Oct 15
Gordan Zitkovic - Department of Mathematics, University of Texas at Austin
Oct 22, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
TBA
Mon.
Oct 22
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
TBA
Mon.
Oct 29
Per Mykland - Department of Statistics, University of Chicago
Nov 5, 2018 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
TBA
Mon.
Nov 5
Matheus Grasselli - Department of Mathematics and Statistics, McMaster University
Nov 6, 2018 - 10:00am to 11:00am
Department of Applied Mathematics - Seminar - TBD
TBA
Tue.
Nov 6

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