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Upcoming Events

Marcel Nutz - Department of Statistics and Department of Mathematics, Columbia University
Oct 19, 2018 - 1:00pm to 2:00pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 242
Mean field games are generally interpreted as approximations to \(n\)-player games with large \(n\). Indeed, \(n\)-player Nash equilibria are known to converge to their mean field counterpart when the latter is unique. In this talk we study a specific stochastic game where both the finite and... read more
Fri.
Oct 19
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
The general equilibrium problem lies at the very foundation of neoclassical economics, and has been extensively studied since 1870s and the work of Leon Walras. The original problem in various formulations inspired a tremendous amount of mathematical theory in areas as diverse as game theory,... read more
Mon.
Oct 22
Matthew Dixon - Department of Applied Mathematics, Illinois Institute of Technology
Oct 23, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a non-... read more
Tue.
Oct 23

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Shahrzad Zelenberg - Department of Applied Mathematics, Illinois Institute of Technology
Oct 18, 2018 - 3:15pm to 4:30pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 103
In this talk, I will discuss the general setup of a neural network and some of the newer practices of implementation. The theory of the subject is currently underdeveloped in relation to its usage; however, some theory will be covered with respect to the single layer neural network which will be... read more
Thu.
10/18/18
Ruoting Gong - Department of Applied Mathematics, Illinois Institute of Technology
Oct 16, 2018 - 11:25am to 12:40pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 121
The Wiener-Hopf factorization theory for Markov processes provides probabilistic interpretations of purely algebraic factorizations of linear operators that are related to these processes. These factorizations are interpreted in terms of functionals of appropriately time-changed processes that are... read more
Tue.
10/16/18
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.
10/15/18

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