A Symposium on Optimal Stopping

最佳停止研讨会

• 批准号: 1822487
• 负责人: Philip Ernst
• 金额: $ 1.5万
• 依托单位: William Marsh Rice University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2018
• 资助国家: 美国
• 起止时间: 2018-07-15 至 2019-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1822487&HistoricalAwards=false
• 关键词: Symposium; Optimal; Stopping

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.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

该奖项支持参加2018年6月25日至29日在德克萨斯州休斯敦的莱斯大学举行的题为“最佳停车研讨会”的国际研讨会。研讨会的目的是将与会者带到最优停车数学理论的研究前沿，并鼓励进一步的研究。该活动旨在鼓励年轻的美国研究人员从事最佳停车研究，并为更多的资深研究人员提供机会，巩固他们的经验，形成新的研究合作。此外，会议将发展未来的研究途径，使从事以下领域的研究人员受益：数学和数值分析(偏微分方程、偏积分-微分方程式、边值问题、自由边界问题)；金融和保险数学(特别是半金融市场中的奇异期权定价和信用风险)；统计学(特别是序贯检验、最快检测和最优预测)；以及物理(特别是包括障碍问题和熔化和凝固问题在内的两阶段问题)。研讨会包括六个主题：1)数学物理中最优停止问题和自由边界问题之间的联系；2)最优停止问题的求解方法，特别是非线性方法；3)最优停止在美式期权、信用风险和博弈论中的应用；4)最优停止在序贯检验、最快检测、正则性问题、隐藏目标检测和最优预测中的应用；5)非线性和约束最优停止；以及6)最优停止与随机控制和随机过程的统计推断之间的联系。主讲人包括S.Asmussen(奥胡斯大学)、N.H.Bingham(伦敦帝国理工学院)、S.Jacka(华威大学)、I.Karatzas(哥伦比亚大学)、G.Peskir(曼彻斯特大学)、P.Salminen(Abo Akademi)、D.Siegmund(斯坦福大学)和N.Touzi(高等理工学院)。更多信息可在会议网页上获得：www.Optimalstopping.com。该奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。