Study of Hamilton-Jacobi type equations in stochastic optimal control models for market making. Asymptotic analysis and spectral approximations

Speaker(s)

Olivier Guéant

ENSAE ParisTech

Events

Hamilton-Jacobi equations with discontinuities : homogenization and dimension reduction

Harnack inequality for hypoelliptic kinetic equations with non-regular coefficients

On the edge of certain interacting particle systems derived from or inspired by random matrix models

The Fourier transform on the Heisenberg group : the " functions …

Stochastic homogenization of non-convex Hamilton-Jacobi equations : a counterexample

Homogeneous Landau equation : uniqueness, particle approximation

Seminar

20 May 2016

11:15 - 12:30

Jean-Frédéric Gerbeau

Approximate Lax pairs and numerical simulation in cardiac electrophysiology

Seminar

27 May 2016

11:15 - 12:30

Panagiotis Souganidis

Scalar Conservation Laws with Rough Time Dependence

From the N-body quantum problem to the Vlasov equation

Study of Hamilton-Jacobi type equations in stochastic optimal control models for market making.…

Study of Hamilton-Jacobi type equations in stochastic optimal control models for market making. Asymptotic analysis and spectral approximations

Speaker(s)

Olivier Guéant

Events

Singularities and discontinuities in Hamilton-Jacobi equations (1)

Singularities and discontinuities in Hamilton-Jacobi equations (2)

Singularities and discontinuities in Hamilton-Jacobi equations (3)

Singularities and discontinuities in Hamilton-Jacobi equations (4)

On the notion of curvature in Regge calculus

Singularities and discontinuities in Hamilton-Jacobi equations (5)

Singularities and discontinuities in Hamilton-Jacobi equations (6)

Numerical methods for gradient flows in Wasserstein space

Singularities and discontinuities in Hamilton-Jacobi equations (7)

Singularities and discontinuities in Hamilton-Jacobi equations (8)

Onset of Instability for a Class of Non-Linear PDE Systems

Singularities and discontinuities in Hamilton-Jacobi equations (9)

Singularities and discontinuities in Hamilton-Jacobi equations (10)

Rank dynamics and applications

Singularities and discontinuities in Hamilton-Jacobi equations (11)

Singularities and discontinuities in Hamilton-Jacobi equations (12)

Symmetry and symmetry breaking in Caffarelli-Kohn-Nirenberg inequalities

Singularities and discontinuities in Hamilton-Jacobi equations (13)

Singularities and discontinuities in Hamilton-Jacobi equations (14)

Singularities and discontinuities in Hamilton-Jacobi equations (15)

Singularities and discontinuities in Hamilton-Jacobi equations (16)

A new class of nonlinear Kolmogorov equations

Singularities and discontinuities in Hamilton-Jacobi equations (17)

Singularities and discontinuities in Hamilton-Jacobi equations (18)

Viscosity solutions for path-dependent PDEs

Hamilton-Jacobi equations with discontinuities : homogenization and dimension reduction

Harnack inequality for hypoelliptic kinetic equations with non-regular coefficients

On the edge of certain interacting particle systems derived from or inspired by random matrix models

The Fourier transform on the Heisenberg group : the " functions …

Stochastic homogenization of non-convex Hamilton-Jacobi equations : a counterexample

Homogeneous Landau equation : uniqueness, particle approximation

Approximate Lax pairs and numerical simulation in cardiac electrophysiology

Scalar Conservation Laws with Rough Time Dependence

From the N-body quantum problem to the Vlasov equation

Study of Hamilton-Jacobi type equations in stochastic optimal control models for market making.…

Liouville's quantum theory or the probabilistic theory of uniformization

See also