| Monday
23 January: General
Theory of Optimal Stopping |
| 08:00
- 08:45 |
Breakfast |
|
|
Session
1
|
Chair: Goran
Peskir |
|
| 09:00 - 10:00 |
J.
Laurie Snell: The Early Days of Optimal Stopping |
|
| 10:15 - 10:45 |
L.C.G.
Rogers: Deterministic Stochastic Optimal Control |
|
| 11:00 - 11:30 |
Robin
L. Hudson: Stop Times and Some Strong Markov
Processes in Quantum Probability |
|
| 11:45 - 12:15 |
Stephane
Attal: Stopping Times in Quantum Mechanics |
|
|
Poster
|
Erik
Ekström: On the Value of Optimal Stopping
Games |
|
| 12:45
- 14:45 |
Lunch
and Discussion |
|
|
Session
2
|
Chair:
Alexander
A. Novikov |
|
| 15:00 - 16:00 |
Albert
N. Shiryaev: Optimal Stopping in the Quickest
Detection of the Spontaneously Appearing Effects (Prehistory and the Route
of the Solution) |
|
| 16:15 - 16:45 |
Paavo
Salminen: Solving Optimal Stopping Problems via the Representation
Theory of Excessive Functions |
|
| 17:00 - 17:30 |
Krzysztof
Szajowski: Correlated Equilibria in Competitive
Staff Selection Problem |
|
| 17:45 - 18:15 |
Mihail
Zervos: A Discretionary Stopping Problem with
Applications to the Optimal Timing of Investment Decisions |
|
|
Poster
|
Christoph
Kuhn: Callable Puts as Composite Exotic Options |
|
| 18:45 - 20:00 |
Dinner |
|
|
|
|
| Tuesday
24 January: Optimal Stopping and Free Boundary
Problems |
| 08:00
- 08:45 |
Breakfast |
|
|
Session
1
|
Chair: Albert
N. Shiryaev |
|
| 09:00 - 10:00 |
Larry
Shepp: Convexity and Optimal Control Theory |
|
| 10:15 - 10:45 |
Xinfu
Chen: Free Boundary in First Cross Problem
Arising from Risk Management |
|
| 11:00 - 11:30 |
Bruno
Dupire: Free Boundary Solutions of the Skorohod
Embedding Problem |
|
| 11:45 - 12:15 |
Huyen
Pham: Explicit Solution to an Optimal Switching
Problem in the Two Regime Case |
|
|
Poster
|
Jesper
Lund Pedersen: Principle of Smooth Fit at
a Single Point |
|
| 12:45 - 14:45 |
Lunch
and Discussion |
|
|
Session
2
|
Chair:
Andreas
Kyprianou |
|
| 15:00 - 16:00 |
Richard
H. Stockbridge: Optimal Stopping of Singular
Stochastic Processes via Linear Programming |
|
| 16:15 - 16:45 |
Robert
Dalang: A Quickest Detection Problem with
an Observation Cost |
|
| 17:00 - 17:30 |
Damien
Lamberton: Optimal Stopping of a One-Dimensional
Diffusion |
|
| 17:45 - 18:15 |
Claudia
Ceci: Optimal Stopping Problems with Semicontinuous
Reward: Regularity of the Value Function and Viscosity Solutions |
|
|
Poster
|
Elena
Boguslavskaya: On Optimization of Dividends
for an Insurance Company in the Presence
of Liquidation Value |
|
| 18:45 - 20:00 |
Dinner |
|
|
|
|
| Wednesday
25 January: Methods of Solution |
|
| 08:00
- 08:45 |
Breakfast |
|
|
Session
1
|
Chair:
Larry
Shepp |
|
| 09:00 - 10:00 |
Bernt
Oksendal: Optimal Stopping, Impulse Control
and Delayed Reaction |
|
| 10:15 - 10:45 |
Alexander
A. Novikov: On a Solution of the Optimal Stopping
Problem for Random Walks and Lévy Processes |
|
| 11:00 - 11:30 |
Ernesto
Mordecki: Ruin Probability and Optimal Stopping
for Lévy Processes |
|
| 11:45 - 12:15 |
Andreas
E. Kyprianou: A Conjecture Concerning the
Smooth Fit Versus the Continuous Fit Principle |
|
|
Poster
|
Luis
H.R. Alvarez: Optimal Harvesting Under Resource
Stock and Price Uncertainty |
|
| 12:45 - 14:45 |
Lunch
and Discussion |
|
|
Session
2
|
Chair:
Robert
Dalang |
|
| 15:00 - 16:00 |
Freddy
Delbaen: Optimising Maximal Monotone Sequences
in Poisson Arrivals |
|
| 16:15 - 16:45 |
Ludger
Ruschendorf: Approximation of Optimal Stopping
Problems |
|
| 17:00 - 17:30 |
Alexander
V. Gnedin: Some Asymptotics in the Problem
of Recognising the Last Record |
|
| 17:45 - 18:15 |
Vladimir
V. Mazalov: On the Duration Problem on Trajectories |
|
|
Poster
|
Jan
Obloj: From an Optimal Stopping Problem via
Skorokhod Embeddings to ML-Martingales |
|
| 19:30 - 22:00 |
Banquet |
|
|
|
|
| Thursday
26 January: Applications I (Financial Mathematics) |
|
| 08:00
- 08:45 |
Breakfast |
|
|
Session
1
|
Chair:
Freddy
Delbaen |
|
| 09:00 - 10:00 |
Mark
H.A. Davis: On the Non-Anticipativity Constraint
in Optimal Stopping |
|
| 10:15 - 10:45 |
Farshid
Jamshidian: Numeraire-Invariant American Option
Pricing and Minimax Duality of the Snell Envelope |
|
| 11:00 - 11:30 |
Thaleia
Zariphopoulou: Early Exercise, Indifference
Valuation and Optimal Investments |
|
| 11:45 - 12:15 |
David
Hobson: The Curious Incident of the Investment
in the Market: Real Options, Optimal Stopping and Optimal Control |
|
|
Poster
|
Pavel
V. Gapeev: Perpetual Options in Jump-Diffusion
Models: Barrier, Credit, Lookback and Switching Options |
|
| 12:45 - 14:45 |
Lunch
and Discussion |
|
|
Session
2
|
Chair: Damien
Lamberton |
|
| 15:00 - 16:00 |
Nicole
El Karoui: Supermartingale Decomposition in
the Max-Plus Algebra, with Applications to American options, and Constrained
Martingale Optimization Problem |
|
| 16:15 - 16:45 |
Yuri
Kifer: Binomial approximations of game options
and related probability problems |
|
| 17:00 - 17:30 |
Ernst
Eberlein: Valuation of Floating Range Notes
in Lévy Term Structure |
|
| 17:45 - 18:15 |
Yuri
Kabanov: Subtleties in the Theory of Financial
Markets with Transaction Costs |
|
|
Poster
|
Martijn
Pistorius: On the Optimal Dividend Problem
for a Spectrally Negative Lévy Process |
|
| 18:45 - 20:00 |
Dinner |
|
|
|
|
| Friday
27 January: Applications
II (Sequential Analysis) |
|
| 08:00
- 08:45 |
Breakfast |
|
|
Session
1
|
Chair: Erik
Ekström |
|
| 09:00 - 10:00 |
Hans
Rudolf Lerche: A Martingale Approach to Optimal
Stopping |
|
| 10:15 - 10:45 |
Savas
Dayanik: Compound Poisson Disorder Problem |
|
| 11:00 - 11:30 |
Albrecht
Irle: Solving Problems of Optimal Stopping
with Linear Costs |
|
| 11:45 - 12:15 |
Goran
Peskir: The Trap of Complacency in Predicting
the Maximum |
|
|
Poster
|
Arne
Lokka: Bayesian Detection of a Change Point
Before an Observable Event |
|
|
Poster
|
Michael
Ludkovski: Optimal Switching for Energy Derivatives |
|
| 12:45 - 18:30 |
Lunch
and Discussion |
|
| 18:45 - 20:00 |
Dinner |
|
|
|
|