Nonlinear expectations, stochastic calculus under Knightian uncertainty, and related topics
Month: June 2013
Date: June 3--July 12
Name: Nonlinear expectations, stochastic calculus under Knightian uncertainty, and related topics
Location: Institute for Mathematical Sciences, National University of Singapore, Singapore.
This program will be focusing on, but not limited to, the following two areas: 1) Nonlinear expectations, backward stochastic differential equations and path-dependent PDE; 2) Nonlinear-expectations, risk measures and robust controls. These areas form the substance of 3 workshops in the 6-weeks-long program. There will also be a series of tutorial lectures and ample opportunities for discussions. The program is intended for leading researchers working in these areas to exchange ideas and hopefully to inspire new mathematical concepts and results. It is also intended to bring young researchers and investment banking practitioners in the related quantitative areas to the frontier of this fascinating area. Activities 1. Workshop on Knightian uncertainty and backward stochastic differential equations: June 10-14, 2013. 2. Workshop on quantitative finance: June 20-21, 2013. 3. Workshop on Knightian uncertainty and risk measures: July 1-5, 2013.