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Special Session 80

Theory, numerical methods, and applications of stochastic systems and SDEs/SPDEs

Organizer(s):

Wanyang Dai

Introduction:

In this special session, theory and numerical methods and related analysis of stochastic systems and SDEs/SPDEs will be addressed. These SDEs/SPDEs and systems include forward/backward stochastic ordinary/partial differential equations. Their interactions and applications with the areas of diffusion approximation, optimal control, queueing system, information theory and technology, wireless and wireline communication systems, finance, etc. will be highlighted.

List of abstracts Go Back
Name	Country	Title
Wanyang Dai	Peoples Rep of China	Adapted Solution, Numerical Methods and Analysis via Malliavin Calculus for A Unified B-SPDE and Their Applications in Finance
David Nualart	USA	Numerical approximation schemes for fractional diffusions
Denis Belomestny	Germany	Optimal stopping for diffusions via sieve empirical minimization: convergence and complexity
Markus Riedle	England	Non-standard Skorokhod convergence of L{\'e}vy-driven convolution integrals in Hilbert spaces
Jie Xiong	Macau	A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information
Federica Masiero	Italy	Some Results on HJB equations with Quadratic and Superquadratic Hamiltonian
Michael Roeckner	Germany	The Stochastic Porous Media Equations on \mathbb{R}^d
Dan Crisan	England	High order approximations for the filtering problem
Yao Li	USA	Nonequilibrium steady-states for particle systems