Mini-course "Topics in stochastic analysis and finance mathematics" professor A.Yu. Veretennikov
Laboratory of Stochastic Analysis and its Applications invites you to mini-course "Topics in stochastic analysis and finance mathematics" of leading Research Fellow at the Laboratory of Stochastic Analysis and its Applications, Professor at the University of Leeds (UK)
Location: Moscow, 26 Shabolovka st., room: 5407
Schedule of mini-course:
27 March - 18:00 - 21:00 room 5407
29 March - 18:00 - 21:00 room 5407
10 April - 18:00 - 21:00 room 5407
12 April - 18:00 - 21:00 room 5407
Program:
I. Discrete stochastic finance with optimization (lectures 1 & 2). A brief presentation of a Master course (33+hours) at Leeds on this subject.
II. Mean-filed stochastic models in SDEs and in Queueing (lectures 3 & 4). In SDEs this theory is also called McKean-Vlasov equation. In queueing, it is a limiting version of a so called multi-agent or multi-particle model with many interacting agents. Existence, uniqueness for the limiting object, and, if time allows, also convergence of multi-particle models will be discussed.
The course is open to anyone interested. Whether you need the pass to the Higher School of Economics, do not hesitate to contact the lab manager Julia Pavlyuk ypavlyuk@hse.ru