Program

Wednesday, 17 December

Time Speaker Title
09:00-09:30 Nicolás Hernández (Universidad Técnica Federico Santa María) On contract theory with multiple players and numerical algorithms
09:30-10:00 Mathias Beiglböck (Universität Wien) Brenier’s theorem for adapted transport I
10:00-10:30 Stefan Schrott (Universität Wien) Brenier’s theorem for adapted transport II
10:30-11:00 Coffee break  
11:00-11:30 Anastasis Kratsios (McMaster University) The Neural Black0-Scholes Formula
11:30-12:00 Emma Hubert (Université Paris Dauphine) Revisiting contract theory with volatility control
12:00-12:30 Julio Backhoff (Universität Wien) Exciting games and the specific relative entropy
12:30-14:00 Lunch  
14:00-14:30 Chiara Rossato (ETH Zürich) Time-inconsistent stochastic games with mean-variance preferences
14:30-15:00 Sara Mazzonetto (Université de Lorraine) Sticky interfaces and local time approximation
15:00-15:30 Filippo Beretta (ETH Zürich) Closed-loop strategies in partial-information leader-follower games
15:30-16:00 Coffee break  
16:00-16:30 Anna de Crescenzo (Université Paris Cité) Mean-field control of heterogeneous systems
16:30-17:00 Marco Rodrigues (ETH Zürich) Robust Hedging of American Options via Aggregated Snell Envelopes

 

Thursday, 18 December

Time Speaker Title
09:00-09:30 Nabil Kazi-Tani (Université de Lorraine) Multi-dimensional risk-averse stochastic optimization
09:30-10:00 Alexandros Saplaouras (ETH Zürich) Stability of Backward Propagation of Chaos and Numerical Approaches
10:00-10:30 Camilo Hernández (University of Southern Calfornia) Dynamic Schrödinger bridges beyond entropy
10:30-11:00 Coffee break  
11:00-11:30 Cristopher Hermosilla (Universidad Técnica Federico Santa María) A Minimality Property of the Value Function in Optimal Control on Spaces of Probability Measures
11:30-12:00 Thibaut Mastrolia (University of California Berkeley) Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
12:00-12:30 Ludovic Tangpi (Princeton University) Particle system approximation of Nash equilibria in large games
12:30-14:00 Lunch  
14:00-14:30 Sergey Nadtochiy (Carnegie Mellon University) Second order mean-curvature flow as a mean-field game
14:30-15:00 Pedro Pérez-Aros (Universidad de Chile) Chance-Constrained Optimization and Spherical Radial Decomposition
15:00-15:30 Luis Briceño (Universidad Técnica Federico Santa María) A dual proximal-gradient approach for variational mean field games
15:30-16:00 Coffee break  
16:00-16:30 Scott Robertson (Boston University) Rational Expectations Equilibrium with Endogenous Information Acquisition Time
16:30-17:00 Francisco Silva (Université de Limoges) Approximation and perturbations of stable solutions to mean field game systems

 

Friday, 19 December

Time Speaker Title
09:00-09:30 Josef Teichmann (ETH Zürich) Geometric Aspects of generative AI with some applications to time
09:30-10:00 Mariano Vazquez (Universidad de Chile) Cyber risk prevention under risk averse spectral criteria
10:00-10:30 Benjamín Vera (Universidad de Chile) Contributions to the Existence and Computation of Nash Equilibria in Electricity Markets with Pollution Constraints
10:30-11:00 Coffee break  
11:00-11:30 Matías Vera (ETH Zürich) Investment and operational planning for an electric market with path-sample constraints
11:30-12:00 Emilio Vilches (Universidad de O’Higgins) Stochastic Sweeping Processes for Nonconvex Sets
12:00-12:30 Joshué Ricalde (ETH Zürich) From Particles to Mean-Field to Quantum Systems: Operator-Valued Non-Commutative Probability Methods for the Propagation of Chaos
12:30-14:00 Lunch  
14:00-14:30 Andrés Riveros (Columbia University) Quadratically Regularized Optimal Transport
14:30-15:00 Daniel Kršek (ETH Zürich) Absolute Continuity in the Adapted Wasserstein Space
15:00-15:30 Mateo Rodriguez (ETH Zurich) Information Leakage and Opportunistic Trading Around the FX Fix
15:30-16:00 Coffee break  
16:00-16:30 Mathieu Rosenbaum (École Polytechnique) Core Order Flow: The Invisible Hand of Market Dynamics
16:30-17:00 Terry Rockafellar (University of Washington) Stochastic Divergences in Understanding Risk and Information