AMS Sectional Meeting Program by Special Session

Current as of Tuesday, April 12, 2005 15:09:39

Associate secretaries:
Susan J Friedlander, AMS susan@math.northwestern.edu

Friday May 2, 1997, 3:00 p.m.-5:40 p.m.
Special Session on Stochastic Processes in Finance and Control, I
Room 115, State Hall Building
Organizers:
Raoul LePage, Michigan State University rdl@entropy.stt.msu.edu
Bert M. Schreiber, Wayne State University berts@math.wayne.edu
- 3:00 p.m.
  Bid-ask Spread and Incomplete Markets
  Per A. Mykland*, The University of Chicago
  (922-60-81)
- 3:30 p.m.
  Hedging Options with Transaction Costs
  Shlomo Levental*, Michigan State University, East Lansing
  (922-60-178)
- 4:00 p.m.
  Parameter Estimation for some Financial Market Models
  Andrius Jankunas*, Wayne State University
  (922-60-119)
- 4:30 p.m.
  Continuous Time Analogue of the Multiplicative Update Algorithm and On-Line Portfolio Selection
  Alexander White*, Michigan State University, East Lansing
  (922-60-216)
- 5:00 p.m.
  Some Risk Sensitive Control Models in Finance
  Wendell H. Fleming*, Brown University
  (922-60-174)

Saturday May 3, 1997, 9:00 a.m.-10:50 a.m.
Special Session on Stochastic Processes in Finance and Control, II
Room 115, State Hall Building
Organizers:
Raoul LePage, Michigan State University rdl@entropy.stt.msu.edu
Bert M. Schreiber, Wayne State University berts@math.wayne.edu
- 9:00 a.m.
  Ergodic Boundary Control of Semilinear Stochastic Systems
  Tyrone E. Duncan*, University of Kansas, Lawrence
  Bohdan Maslowski, Institute of Mathematics, Czech Academy of Sciences, Prague, Czech Republic
  Bozenna J. Pasik-Duncan, University of Kansas, Lawrence
  (922-60-186)
- 9:30 a.m.
  Optimal Policies for Capital Risk Management
  Thaleia Zariphopoulou-Souganidis*, University of Wisconsin, Madison
  Helyette E. Geman, ESSEC and University of Paris, Dauphone, France
  (922-60-190)
- 10:00 a.m.
  Pricing and Hedging of Contingent Claims in Imperfect Markets
  Steven Kou*, University of Michigan, Ann Arbor
  (922-90-134)
- 10:30 a.m.
  Robust Hedging Strategies
  Glen H Swindle*, Cornell University
  Hyungsok Ahn, UCSB
  (922-60-175)

Saturday May 3, 1997, 3:00 p.m.-5:40 p.m.
Special Session on Stochastic Processes in Finance and Control, III
Room 115, State Hall Building
Organizers:
Raoul LePage, Michigan State University rdl@entropy.stt.msu.edu
Bert M. Schreiber, Wayne State University berts@math.wayne.edu
- 3:00 p.m.
  A Limit Theorem for Stochastic Processes which has Applications to some Problems of Financial Mathematics
  Anatoli V. Skorokhod*, Michigan State University
  (922-60-192)
- 3:50 p.m.
  Prediction of Stock prices through Onsager-Machlup function ofgeneralized Geometric Brownian Motion.
  Yaozhong Hu*, University of California at Irvine
  (922-60-188)
- 4:20 p.m.
  Reflected Forward-Backward SDE's and Obstacle Problems with Boundary Conditions
  Jin Ma*, Purdue University, West Lafayette
  Jaksa Cvitanic, Columbia University
  (922-60-42)
- 4:50 p.m.
  A Deterministic Approach to Fractional Brownian Motion
  Donna Mary Salopek*, The Fields Institute
  (922-60-124)
- 5:20 p.m.
  Recent results on risk sensitive portfolio selection and factormodeling of returns
  Tomasz R. Bielecki*, Northeastern Illinois University
  Stanley R. Pliska, University of Illinois at Chicago
  (922-93-135)

Inquiries: meet@ams.org