大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk

UCL-OUシードファンド
（後援）大阪大学数理・データ科学教育研究センター 金融・保険部門

1. ホーム
2. セミナー・集中講義
3. ワークショップ
4. Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk

国際ワークショップ

Osaka-UCL Mini-Workshop on Stochastics, Numerics and Risk

UCL-OUシードファンド
（後援）大阪大学数理・データ科学教育研究センター 金融・保険部門

プログラム (修正版):

16th February:

9:30--10:15 Jun Sekine (Osaka University), "Many-player stochastic games under Epstein-Zin preferences and relative performance criteria"

10:25--11:10 Masaaki Fukasawa (Osaka University), "An introduction to rough volatility"

11:25--12:10 Takuya Nakagawa (Ritsumeikan University), "Existence of density functions for the running maximum of SDEs by non-truncated stable like processes"

14:00--14:45 Toshihiro Yamada (Hitotsubashi University), "Total variation bound for Milstein scheme without iterated integrals"

14:55--15:40 Andrea Macrina (UCL), "Arcade processes"

(break)

16:30--16:55 Georges Kassis (UCL), "Informed martingale interpolation and transport"

16:55--17:15 Daniel Bussell (UCL), "Deep learning methods for quadratic BSDEs"


17th February:

13:00--13:45 Camilo Garcia Trillos (UCL), "On adversarial robustness and the use of Wasserstein ascent-descent"

13:55--14:40 Ryoichi Suzuki (Ritsumeikan University), "A modified $\Phi$-Sobolev inequality for Levy processes and related concentration inequalities"

15:00--15:25 Mikio Hirokane (Osaka University), "A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two"

15:25--15:50 Ryoji Takano (Osaka University), "Large deviation principle for the Lyons-Victoir extension"

16:00--16:45 Yushi Hamaguchi (Osaka University), "Periodic portfolio selection under quasi hyperbolic discounting"