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Seminars for the week of 28 November, 2011
Colloquium
Dec. 1, 2011, 3:35 p.m., in vinH 16Professor Erhan Bayraktar
of University of Michigan
will speak on
Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case Abstract:
We introduce a probabilistic version of the classical Perron's method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method, we construct easily two viscosity (sub and super) solutions that squeeze in between the expected payoff. If a comparison result holds true, then there exists a unique viscosity solution which is a martingale along the solutions of the stochastic differential equation. The unique viscosity solution is actually equal to the expected payoff. This amounts to a verification result (Ito's Lemma) for non-smooth viscosity solutions of the linear parabolic equation. This is the first step in a larger program to prove verification for viscosity solutions and the Dynamic Programming Principle for stochastic control problems and games.
Monday, 28 November 2011
Junior Colloquium
at 12:20 p.m. in VinH 16
-
Patrick Campbell
will speak on "Extracurricular excursions in computer vision"
Algebraic Representation Theory
at 1:25 p.m. in VinH 570
-
Professor Peter Webb
will speak on "Exchange pairs in cluster categories"
Tuesday, 29 November 2011
Commutative Algebra Seminar
at 10 a.m. in VinH 203B
-
Emily Witt
will speak on "Local cohomology modules - a continuation"
IMA Postdoc Seminar
at 11:15 a.m. in Keller Hall 3-180
-
Teng Zhang
will speak on "A novel M-estimator for robust PCA"
Math Physics:
at 12:20 p.m. in VinH 570
-
Tryphon Georgiou
will speak on "Title: to be announced"
Wednesday, 30 November 2011
Climate Change Seminar
at 11:15 a.m. in VinH 570
-
Jim Cotner
of Department of Ecology, Evolution and Behavior
will speak on "Carbon burial in wetlands"
Algebraic Representation Theory:
at 1:25 p.m. in VinH 570
-
Professor Gregg Musiker
will speak on "The cluster multiplication formula"
Student Topology Seminar:
at 2:30 p.m. in VinH 570
-
... Will not meet this week
PDE Seminar
at 3:35 p.m. in VinH 206
-
Professor Luca Capogna
of University of Arkansas
will speak on "An extremal problem in quasiconformal mappings from a PDE point of view"
Automorphic forms and number theory
at 3:35 p.m. in vinH 364
-
Professor Paul Garrett
will speak on "Review of spectral theory for GL(3) -"
Thursday, 1 December 2011
Commutative Algebra Seminar
at 10 a.m. in VinH 203B
-
Daniel Hernandez
will speak on "Singularities of hypersurfaces - a continuation"
Colloquium:
at 3:35 p.m. in vinH 16
-
Professor Erhan Bayraktar
of University of Michigan
will speak on "Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case"
Friday, 2 December 2011
Industrial Problems Seminar
at 2:30 p.m. in Lind Hall 305
-
Brian J. Stanklewicz
of 3M
will speak on "Title: to be announced"
Combinatorics Seminar:
at 3:35 p.m. in VinH 570
-
Professor David Wilson
of Microsoft Research
will speak on "Spanning trees of graphs on surfaces adn the intensity of loop-erased random walk on Z^2"
Financial Mathematics Seminar:
at 5:30 p.m. in VinH 16
-
Kevin Leder
of Assistant Professor of Industrial & Systems Engineering
will speak on "Computational strategies for estimating rare event probabilities"
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