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AMS Sectional Meeting Program by Special Session

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


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1997 Spring Central Sectional Meeting
Detroit, MI, May 2-4, 1997
Meeting #922

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

Special Session on Stochastic Processes in Finance and Control

  • 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