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Mini-course "Topics in stochastic analysis and finance mathematics" professor A.Yu. Veretennikov

On March 27 – April 12  leading Research Fellow at the Laboratory of Stochastic Analysis and its Applications, Professor at the University of Leeds (UK) professor A.Yu. Veretennikov read the mini-course "Topics in stochastic analysis and finance mathematics"

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.