Speaker: Anthony Coache, research associate, Department of Mathematics, Imperial College London. Title: Robust Reinforcement Learning with Dynamic Distortion Risk Measures Abstract: In a reinforcement...
Our next talk in the seminar on Fin. Math., Stochastic Analysis and Machine Learning will be given on Tue, Oct 8, at 12:50-1:50pm, in RE 119. This is an in-person talk. Speaker: Sergey Nadtochiy...
Speaker: Harrison Waldon, post-doctoral researcher, Oxford Man Institute at Oxford University Title: The Deep Adaptive Regulator for Closed-Loop Predictive Control Abstract: Traditional methods in...
Speaker: Gokce Dayanikli, assistant professor of statistics, University of Illinois Urbana-Champaign Title: Utilizing Deep Learning and Game Theory to Find Optimal Policies for Large Number of Agents...
Speaker: Ivan Gvozdanovic, Illinois Institute of Technology Title: Time Consistent Reinforcement Learning for Optimal Consumption under Epstein-Zin Preferences Abstract: In this talk, I present a new...
Speaker: Yuan Yin, Illinois Institute of Technology Title: Convergence of a Branching Particle Filtering Algorithm for Partially Observed Diffusions, with Application in Market Microstructure Modeling...
Speaker: Alain Bensoussan, University of Texas, Dallas Title: Stochastic Control and Limited Commitment Abstract: The theory of investment and growth of firms has been an important source of...
Speaker: Guillermo Alonso Alvarez, Illinois Institute of Technology Title: Optimal Contract Design via Relaxation: Application to the Problem of Brokerage Fees. Abstract: I will present a new approach...
Speaker: Kovacova, Gabriela. Vienna University of Economics and Business. Title: Set-Valued Bellman's Principle: Applications and Computations. Abstract: Dynamic programming, introduced by Richard...
Speaker: Igor Cialenco, Illinois Institute of Technology Title: A power variation approach to statistical analysis of discretely sampled semilinear SPDEs Abstract: Motivated by problems from...
