evenements:seminaireproba-math-fi
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evenements:seminaireproba-math-fi [2019/03/19 13:03] Valérie Picot |
evenements:seminaireproba-math-fi [2019/04/01 08:09] Valérie Picot |
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| **__Exposés de l'année 2019__ :** | **__Exposés de l'année 2019__ :** | ||
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| + | **4 avril à 14h00 :** <color #088A85> Xiaolu Tan </color> (Université Paris-Dauphine) // From Martingale Optimal Transport to McKean-Vlasov Control Problems// | ||
| + | ++ Voir résumé | \\The Martingale Optimal Transport (MOT) problem consists in maximizing a reward value among a class of martingales with given marginal distributions. It is motivated by its application in finance to obtain the no-arbitrage price bounds of derivative options in a data calibrated market. We consider a class of MOT problems and show how it could be related to a McKean-Vlasov (mean-field) control problem, which is a large population control problem. We then study the dynamic programming principle and the numerical approximation of the McKean-Vlasov control problem. | ||
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| + | **4 avril à 15h00 :** <color #088A85> Ahmed Kebaier </color> (Université Paris 13) // Non-asymptotic error bounds for The Multilevel Monte Carlo Euler method applied to SDEs with constant diffusion coefficient// | ||
| + | ++ Voir résumé | \\In this work, we are interested in deriving non-asymptotic error bounds for the multilevel Monte Carlo method. As a first step, we deal with the explicit Euler discretization of stochastic differential equations with a constant diffusion coefficient. We prove that, as long as the deviation is below an explicit threshold, a Gaussian-type concentration inequality optimal in terms of the variance holds for the multilevel estimator. To do so, we use the Clark-Ocone representation formula and derive bounds for the moment generating functions of the squared difference between a crude Euler scheme and a finer one and of the squared difference of their Malliavin derivatives. | ||
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| **28 mars à 14h00 :** <color #088A85> Carl Graham </color> (Ecole Polytechnique) // Théorèmes limites pour un processus de Hawkes avec auto excitation et inhibition à portée bornée// | **28 mars à 14h00 :** <color #088A85> Carl Graham </color> (Ecole Polytechnique) // Théorèmes limites pour un processus de Hawkes avec auto excitation et inhibition à portée bornée// | ||
evenements/seminaireproba-math-fi.txt · Last modified: 2024/04/22 12:08 by Valérie Picot
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