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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
Line 7: Line 7:
  
 **__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: 2020/05/06 11:32 by Valérie Picot

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