AMS Sectional Meeting AMS Special Session

Current as of Sunday, October 20, 2013 00:27:41

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Program  ·  Deadlines  ·  Registration/Housing/Etc.
Special Event or Lecture  ·  Inquiries: meet@ams.org

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Fall Eastern Sectional Meeting
Temple University, Philadelphia, PA
October 12-13, 2013 (Saturday - Sunday)
Meeting #1093

Associate secretaries:

Steven H. Weintraub, AMS shw2@lehigh.edu

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Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance

• Saturday October 12, 2013, 8:00 a.m.-10:50 a.m.
  Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance, I
  Room 407, Barton B
  Organizers:
  Paul Feehan, Rutgers University feehan@rci.rutgers.edu
  Ruoting Gong, Rutgers University
  Camelia Pop, University of Pennsylvania
  

  • 8:00 a.m.
    Bakry meets Villani.
    Fabrice Baudoin*, Purdue University
    (1093-35-179)
  • 8:30 a.m.
    Degenerate diffusions in population genetics.
    Charles L Epstein*, University of Pennsylvania
    Rafe Mazzeo, Stanford University
    (1093-35-372)
  • 9:00 a.m.
    The Obstacle Problem for Elliptic Operators in Divergence Form.
    Ivan Blank, Kansas State University
    Zheng Hao*, Kansas State University
    (1093-35-108)
  • 9:30 a.m.
    Viscosity solutions of obstacle problems for Fully nonlinear path-dependent PDEs.
    Ibrahim Ekren*, University of Southern California
    (1093-60-18)
  • 10:00 a.m.
    A classical Perron method for existence of smooth solutions to boundary value and obstacle problems for degenerate-elliptic operators via holomorphic maps.
    Paul M. N. Feehan*, Rutgers, The State University of New Jersey, New Brunswick
    (1093-35-34)
  • 10:30 a.m.
    Regularity results for the factional Laplacian with drift.
    Camelia A Pop*, University of Pennsylvania
    Charles L Epstein, University of Pennsylvania
    Arshak Petrosyan, Purdue University
    (1093-35-74)
• Saturday October 12, 2013, 2:00 p.m.-4:50 p.m.
  Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance, II
  Room 407, Barton B
  Organizers:
  Paul Feehan, Rutgers University feehan@rci.rutgers.edu
  Ruoting Gong, Rutgers University
  Camelia Pop, University of Pennsylvania
  

  • 2:00 p.m.
    Fast and accurate pricing using parabolic inverse Fourier and Laplace transforms, and method of paired contours.
    Sergei Levendorskiĭ*, University of Leicester, UK
    (1093-44-289)
  • 2:30 p.m.
    Monte Carlo Schemes for nonlinear PDE's.
    Arash Fahim*, Florida State University
    (1093-35-90)
  • 3:00 p.m.
    An effective transform method for the computation of the free boundary in an one-phase Stefan problem.
    Seung Hyun Kim*, Cambridge School of Weston
    (1093-35-54)
  • 3:30 p.m.
    Optimal Stopping of Switching Diffusions with State Dependent Switching Rates.
    Ruihua Liu*, Department of Mathematics, University of Dayton
    (1093-91-377)
  • 4:00 p.m.
    Green-function methods for pricing of options.
    Anna L Mazzucato*, Penn State University
    Victor Nistor, Penn State University
    (1093-35-99)
  • 4:30 p.m.
    Time Consistent Portfolio Management.
    Traian A Pirvu*, McMaster University
    Ivar Ekeland, Paris Dauphine
    Oumar Mbodji, McMaster University
    (1093-00-80)
• Sunday October 13, 2013, 8:00 a.m.-10:50 a.m.
  Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance, III
  Room 407, Barton B
  Organizers:
  Paul Feehan, Rutgers University feehan@rci.rutgers.edu
  Ruoting Gong, Rutgers University
  Camelia Pop, University of Pennsylvania
  

  • 8:00 a.m.
    Polynomial preserving diffusions and applications in Finance.
    Martin Larsson*, Swiss Finance Institute, Ecole Polytechnique Fédérale de Lausanne
    (1093-60-174)
  • 8:30 a.m.
    Analytical approximations in local Lévy models with default.
    Matthew Lorig, ORFE Princeton Univesity
    Stefano Pagliarani*, Department of Mathematics, University of Padova
    Andrea Pascucci, Department of Mathematics, University of Bologna
    (1093-41-73)
  • 9:00 a.m.
    The Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes.
    Yu-Jui Huang*, Dublin City University
    Xiaoshan Chen, City University of Hong Kong
    Qingshuo Song, City University of Hong Kong
    Chao Zhu, University of Wisconsin-Milwaukee
    (1093-60-311)
  • 9:30 a.m.
    Non-Markovian zero-sum stochastic differential games and path dependent Bellman-Isaacs equations.
    Triet M Pham*, Rutgers University
    (1093-60-15)
  • 10:00 a.m.
    Small-time Asymptotics for ATM option prices under exponential Lévy models.
    José Enrique Figueroa-López, Department of Statistics, Purdue University
    Ruoting Gong*, Department of Mathematics, Rutgers, The State University of New Jersey
    Christian Houdré, School of Mathematics, Georgia Institute of Technology
    (1093-60-43)
  • 10:30 a.m.
    Hypothesis Testing for Stochastic PDEs Driven by Additive Noise.
    Igor Cialenco, Department of Applied Mathematics, Illinois Institute of Technology
    Liaosha Xu*, Department of Applied Mathematics, Illinois Institute of Technology
    (1093-60-143)
• Sunday October 13, 2013, 8:00 a.m.-10:50 a.m.
  Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance, IV
  Room 409, Barton B
  Organizers:
  Paul Feehan, Rutgers University feehan@rci.rutgers.edu
  Ruoting Gong, Rutgers University
  Camelia Pop, University of Pennsylvania
  

  • 8:00 a.m.
    Face-lifting in convex optimization.
    Kasper Larsen*, Carnegie Mellon University
    Mete Soner, ETH
    Gordan Zitkovic, UT-Austin
    (1093-60-152)
  • 8:30 a.m.
    Definition of the Feynman path integral as a functional using the Henstock integration technique.
    Ekaterina S Nathanson*, University of Iowa, Iowa City, IA
    Palle E Jorgensen, University of Iowa, Iowa City, IA
    (1093-28-62)
  • 9:00 a.m.
    Reaction-Diffusion PDEs in Mathematical Finance.
    Tim Leung*, Columbia University
    Jinbeom Kim, Columbia University
    (1093-60-37)
  • 9:30 a.m.
    Implied vol for any local-stochastic vol model.
    Andrea Pascucci*, Dipartimento di Matematica, Università di Bologna, Bologna, Italy
    Matthew Lorig, ORFE Department, Princeton University, Princeton, USA
    Stefano Pagliarani, Dipartimento di Matematica, Università di Padova, Padova, Italy
    (1093-60-71)
  • 10:00 a.m.
    Moment explosion in the Hull-White stochastic volatility model in discrete time.
    Dan Pirjol*, New York, NY
    (1093-60-68)
  • 10:30 a.m.
    Filtering the Maximum Likelihood for Multiscale Problems.
    Konstantinos Spiliopoulos*, Boston University, Department of Mathematics and Statistics
    Andrew Papanicolaou, School of Mathematics and Statistics at the University of Sydney
    (1093-60-126)
• Sunday October 13, 2013, 3:00 p.m.-4:50 p.m.
  Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance, V
  Room 407, Barton B
  Organizers:
  Paul Feehan, Rutgers University feehan@rci.rutgers.edu
  Ruoting Gong, Rutgers University
  Camelia Pop, University of Pennsylvania
  

  • 3:00 p.m.
    Dynamic limit growth indices.
    Tomasz R. Bielecki, Department of Applied Mathematics, Illinois Institute of Technology, Chicago, 60616 IL, USA.
    Igor Cialenco, Department of Applied Mathematics, Illinois Institute of Technology, Chicago, 60616 IL, USA.
    Marcin Pitera*, Institute of Mathematics, Jagiellonian University, Cracow, Poland.
    (1093-60-200)
  • 3:30 p.m.
    Optimal bank management under liquidity and capital constraints.
    Fabian Astic, Moody's Investors Service
    Agnes Tourin*, NYU Polytechnic Institute
    (1093-91-287)
  • 4:00 p.m.
    Impulse Control of a Diffusion with a Change Point.
    Ioannis Karatzas, Mathematics Department, Columbia University
    Qinghua Li*, Institute of Mathematics, Humboldt University Berlin
    (1093-60-72)
  • 4:30 p.m.
    Optimal Stopping of Markov Switching Lévy Processes.
    Moustapha N Pemy*, Towson University
    (1093-60-93)
• Sunday October 13, 2013, 3:00 p.m.-5:20 p.m.
  Special Session on Partial Differential Equations, Stochastic Analysis, and Applications to Mathematical Finance, VI
  Room 409, Barton B
  Organizers:
  Paul Feehan, Rutgers University feehan@rci.rutgers.edu
  Ruoting Gong, Rutgers University
  Camelia Pop, University of Pennsylvania
  

  • 3:00 p.m.
    Reducing variance in the numerical solution of BSDEs.
    Samu Alanko*, Courant Institute of Mathematical Sciences, New York University
    Marco Avellaneda, Courant Institute of Mathematical Sciences, New York University
    (1093-60-314)
  • 3:30 p.m.
    Multitask Principal-Agent Problems with Accident Prevention.
    Agostino Capponi*, Johns Hopkins University
    Christoph Frei, University of Alberta
    (1093-35-23)
  • 4:00 p.m.
    Trends and Trades: Trend-based trading scheme using CUSUM.
    Michael Carlisle*, Baruch College, CUNY
    Olympia Hadjiliadis, Brooklyn College and the Graduate Center, CUNY
    Ioannis Stamos, Hunter College and the Graduate Center, CUNY
    (1093-60-302)
  • 4:30 p.m.
    Analytical Approaches to Solution of PDEs and PIDEs and their Application to Physics and Mathematical Finance.
    Alexander L Shklyarevsky*, Bank of America
    (1093-35-262)
  • 5:00 p.m.
    Dynamic Assessment Indices.
    Igor Cialenco*, Illinois Institute of Technology
    Tomasz R. Bielecki, Illinois Institute of Technology
    Samuel Drapeau, Humboldt-Universitat Berlin
    Martin Karliczek, Humboldt-Universitat Berlin
    (1093-31-220)

Inquiries: meet@ams.org

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