A conference on mathematical finance, probability theory, and partial differential equations will be held at Rutgers University, New Brunswick, May 17--19, 2017. (See http://finmath.rutgers.edu/partial-differential-equations-conference.) The scientific themes are stochastic analysis and its applications to mathematical finance and partial differential equations. These topics touch upon the highly active research areas of stochastic differential games, backward stochastic differential equations, stochastic portfolio theory, and systemic risk. This conference seeks to encourage and promote early-career mathematicians. The conference will bring together distinguished senior speakers and a wide range of junior mathematicians, and will help to support, train and encourage the next generation of researchers. Contributed talks free of competing parallel sessions will give an opportunity to graduate students and junior mathematicians to present their research and to obtain feedback from experts.Rutgers University will host a conference on mathematical finance, probability theory, and partial differential equations, May 17--19, 2017. Stochastic analysis and probability theory in general provide powerful mathematical tools for areas ranging from mean field game theory to equilibrium theory. In particular, significant progress has been made on backward stochastic differential equations, large interacting particle systems, and their applications to stochastic control theory related to equilibrium theory, investment decisions, and systemic risk. The areas of application include investment in large equity markets, systemic risk in banking systems, and model selection for pricing and optimal retirement planning. The aim of the conference is to bring together experts working on these different topics, to foster the exchange of ideas among the participants, and to provide exposure to graduate students and junior mathematicians.
|Effective start/end date||5/1/17 → 4/30/18|
- National Science Foundation (National Science Foundation (NSF))
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