AMS Sectional Meeting Program by Special Session

Current as of Saturday, April 21, 2007 00:32:16

Associate secretaries:
Lesley M Sibner, AMS lsibner@duke.poly.edu

Saturday April 14, 2007, 9:30 a.m.-10:50 a.m.
Special Session on Optimization of Stochastic Systems, I
Room 430, Burchard
Organizers:
Darinka Dentcheva, Stevens Institute of Technology ddentche@stevens.edu
Andrzej Ruszczynski, Rutgers University
- 9:30 a.m.
  Bayesian sequential detection and isolation of an unobservable sudden change.
  Savas Dayanik*, Princeton University
  Christian L Goulding, Princeton University
  H Vincent Poor, Princeton University
  (1026-60-192)
- 10:00 a.m.
  Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints.
  Darinka Dentcheva*, Stevens Institute of Technology
  Rene Henrion, Weierstrass Institute
  Andrzej Ruszczynski, Rutgers University
  (1026-49-155)
- 10:30 a.m.
  Stochastic dynamic optimization with multivariate stochastic dominance constraints.
  Darinka Dentcheva, Stevens Institute of Technology
  Andrzej Ruszczynski*, Rutgers University
  (1026-49-154)

Saturday April 14, 2007, 2:30 p.m.-5:20 p.m.
Special Session on Optimization of Stochastic Systems, II
Room 430, Burchard
Organizers:
Darinka Dentcheva, Stevens Institute of Technology ddentche@stevens.edu
Andrzej Ruszczynski, Rutgers University
- 2:30 p.m.
  Monetary Risk Measures on Maximal Subspaces of Orlicz Classes.
  Patrick Cheridito*, Princeton University
  Tianhui Li, Princeton University
  (1026-60-181)
- 3:00 p.m.
  Martingale Approach to Stochastic Differential Games of Control and Stopping.
  Ioannis Karatzas, Columbia University
  Ingrid Mona Zamfirescu*, Baruch College - CUNY
  (1026-60-116)
- 3:30 p.m.
  Homogenization of Hamilton-Jacobi-Bellman equations with respect to time-space shifts in a stationary ergodic random medium.
  Elena Kosygina*, Baruch College and the Graduate Center, CUNY
  Srinivasa R. S. Varadhan, Courant Institute of Mathematical Sciences, NYU
  (1026-60-100)
- 4:00 p.m.
  Hedging under L2 convex risk measures.
  Antoine Toussaint*, Princeton University
  (1026-60-173)
- 4:30 p.m.
  Accounting for Risk Aversion and Other Idiosyncrasies in the Valuation of Employee Stock Options.
  Tim Siutang Leung*, Princeton University
  Ronnie Sircar, Princeton University
  (1026-60-115)
- 5:00 p.m.
  Coefficient Estimation for Diffusion Equations with a hidden factor.
  Ionut Florescu*, Stevens Institute of Technology
  (1026-60-77)

Sunday April 15, 2007, 9:00 a.m.-10:50 a.m.
Special Session on Optimization of Stochastic Systems, III
Room 430, Burchard
Organizers:
Darinka Dentcheva, Stevens Institute of Technology ddentche@stevens.edu
Andrzej Ruszczynski, Rutgers University
- 9:00 a.m.
  Optimal Security Inspection with a Single-server Queue.
  Michael Zabarankin*, Stevens Institute of Technology
  Ilona Murynets, Stevens Institute of Technology
  Jeffery Nickerson, Stevens Institute of Technology
  (1026-49-220)
- 9:30 a.m.
  Markov Chain Approach to Optimal Sensor Coverage.
  Sergiy Gorovyy*, Stevens Institute of Technology
  Anton Molyboha, Stevens Institute of Technology
  Michael Zabarankin, Stevens Institute of Technology
  (1026-49-226)
- 10:00 a.m.
  Quantile-based Deviation Measures.
  Anton Molyboha*, Stevens Institute of Technology
  Bogdan Grechuk, Stevens Institute of Technology
  Michael Zabarankin, Stevens Institute of Technology
  (1026-60-225)
- 10:30 a.m.
  Mean-Deviation Analysis.
  Bogdan Grechuk*, Stevens Institute of Technology
  Anton Molyboha, Stevens Institute of Technology
  Michael Zabarankin, Stevens Institute of Technology
  (1026-60-222)

Inquiries: meet@ams.org