A symposium on optimal stopping
Abstract
This award supports participation in an international symposium at Rice University in Houston, Texas, held June 25-29, 2018, entitled "A Symposium on Optimal Stopping." The symposium is designed both to bring participants to the frontiers of research in the mathematical theory of optimal stopping as well as to stimulate further research. The event aims to encourage young U.S. researchers to pursue research in optimal stopping and offers the opportunity to more senior researchers to consolidate their experiences and to form fresh research collaborations. In addition, the meeting will develop future avenues for research that should benefit researchers working in the fields of: mathematical and numerical analysis (partial differential equations, partial integro-differential equations, boundary value problems, free boundary problems); financial and insurance mathematics (particularly exotic option pricing in semimartingale markets and credit risk); statistics (particularly sequential testing, quickest detection, and optimal prediction); and physics (particularly two-phase problems including obstacle problems and problems of melting and solidification). The symposium encompasses six themes: 1) The connection between optimal stopping problems and free-boundary problems in mathematical physics; 2) Methods of solution for optimal stopping problems, in particular nonlinear methods; 3) Applications of optimal stopping to American type options, credit risk, and game theory; 4) Applications of optimal stopping to sequential testing, quickest detection, regularity problems, detection of hidden targets, and optimal prediction; 5) Nonlinear and constrained optimal stopping; and 6) Connections of optimal stopping to stochastic control and to statistical inference for stochastic processes. Keynote speakers include S. Asmussen (Aarhus University), N.H. Bingham (Imperial College London), S. Jacka (University of Warwick), I. Karatzas (Columbia University), G. Peskir (University of Manchester), P. Salminen (Abo Akademi), D. Siegmund (Stanford University), and N. Touzi (Ecole Polytechnique). More information is available on the conference webpage: www.optimalstopping.com.
Document Details
- Document Type
- DoD Grant Award
- Publication Date
- May 06, 2019
- Source ID
- W911NF1810230
Entities
People
- Philip Ernst
Organizations
- Army Contracting Command
- Rice University
- United States Army