Stochastic analysis

ICMS, Bayes Centre, 47 Potterrow, Edinburgh EH8 9BT

28 January 2019

Organisers

Goncalo dos Reis, University of Edinburgh
William Salkeld, University of Edinburgh

This meeting gathers local and external experts in stochastic analysis and their applications for an afternoon of scientific discussion on some recent trends in the field. The organizers would like to acknowledge the generous support of the Glasgow Mathematical Journal Trust Learning and Research Support Fund

The speakers are:

Ankush Agarwal, Adam Smith Business School, University of Glasgow

Goncalo dos Reis, University of Edinburgh

Bekzhan Kerimkulov, University of Edinburgh

Mario Maurelli, University of York

Anthony Réveillac, INSA de Toulouse

William Salkeld, Univeristy of Edinburgh

Programme

The talk abstracts can be found here.

13:00-13:45

Anthony Réveillac (INSA de Toulouse)
On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noisy dispersion

13:45-14:10

William Salkeld (Univeristy of Edinburgh) Malliavin differentiability of SDEs with drifts of superlinear growth

14:10-14:35

Bekzhan Kerimkulov (University of Edinburgh) Exponential convergence and stability of Howard's
policy improvement algorithm for controlled diffusions

14:35-15:15

Tea and coffee break

15:15-15:50

Mario Maurelli (University of York)
McKean-Vlasov SDEs with irregular drift: large deviations for particle approximation

15:50-16:25

Ankush Agarwal (Univeristy of Glasgow) Numerical approximations of McKean anticipative
backward stochastic differential equations arising in initial margin requirements

16:25-16:50

Goncalo dos Reis (Univeristy of Edinburgh) Importance sampling for McKean- Vlasov SDEs