International Seminar on SDEs and Related Topics
 This online seminar takes place every second Friday at
12:30 UTC during European daylight saving times  11:30 UTC otherwise 

12:30 noon  1:30 pm  2:30 pm  8:30 pm (7:30 pm from Apr 08 on) 

London  Berlin, Paris  Helsinki  Beijing 
Zoom link Meeting ID: 618 9100 7917
No registration required. To get an email reminder before each event write to sdeseminar[at]jyu.fi.
Organisers
 Stefan Ankirchner (FSU Jena, Germany)
 Christian Bender (Saarland University, Germany)
 Rainer Buckdahn (Universite de Bretagne Occidentale, France)
 Dan Crisan (Imperial College London, UK)
 Christel Geiss (University of Jyväskylä, Finland)
 Stefan Geiss (University of Jyväskylä, Finland)
 Céline Labart (Université Savoie MontBlanc, France)
 Juan Li (Shandong University, China)
 Andreas Neuenkirch (University of Mannheim, Germany)
 Shige Peng (Shandong University, China)
 Adrien Richou (University of Bordeaux, France)
Schedule 2021
Oct 29, 2021
Peter Friz (TU Berlin and WIAS Berlin): Poster: Video (expires April 2022)Abstract: A hybrid theory of rough stochastic analysis is built that seamlessly combines the advantages of both Itô's stochastic  and Lyons' rough differential equations. A major role is played by a new stochastic variant of controlled rough paths spaces, with norms that reflect some generalized stochastic sewing lemma, and which may prove useful whenever rough paths and Itô integration meet. We will mentioned several applications. Joint work with Antoine Hocquet and Khoa Lê (both TU Berlin).
Nov 12, 2021
Xunyu Zhou (Columbia University, New York): Poster: Video (expires April 2022)A Martingale Lens
Abstract: We propose a unified framework to study policy evaluation (PE) and the associated temporal difference (TD) methods for reinforcement learning in continuous time and space. Mathematically, PE is to devise a datadriven FeynmanKac formula without knowing any coefficients of a PDE. We show that this problem is equivalent to maintaining the martingale condition of a process. From this perspective, we present two methods for designing PE algorithms. The first one, using a "martingale loss function", interprets the classical gradient MonteCarlo algorithm. The second method is based on a system of equations called the "martingale orthogonality conditions". Solving these equations in different ways recovers various classical TD algorithms, such as TD, LSTD, and GTD. We apply these results to option pricing and portfolio selection. This is joint work with Yanwei Jia.
Nov 26, 2021
Michael Scheutzow Poster: Slides Video (expires May 2022)(Technische Universität Berlin):
Abstract: We provide an introduction to generalized couplings and present a recent result [contained in S.: Couplings, generalized couplings and uniqueness of invariant measures. ECP, 2020]
which says that the existence of a generalized coupling for a Markov chain implies uniqueness of an invariant probability measure even if
the state space is just a metric space without requiring separability or completeness as in previous works. The proof turns out to be rather elementary.
We show how this result can be applied to show uniqueness of an invariant measure for
the solution process of a stochastic functional differential equation (SFDE) and we show how generalized couplings can be
employed to show weak uniqueness of solutions of an SFDE with Hölder continuous coefficients.
Parts of the talk are based on joint work with Alex Kulik (Wroclaw).
Dec 10, 2021
Nizar Touzi (CMAP & Polytechnique Paris): Poster:Abstract: The problem of optimal planning was introduced by P.L. Lions in the context of a mean field game, by fixing a target distribution in the FockerPlanck equation and relaxing the boundary condition in the HJB equation. We analyze an extension of this problem to the pathdependent setting which has remarkable connections with optimal transport and optimal incentive theory in economics. We provide a general characterization of mean field optimal planning solutions, and we solve explicitly the minimum entropy optimal planning problem.
Schedule 2022
Jan 14, 2022
Arturo KohatsuHiga (Ritsumeikan University, Kusatsu): TBAJan 28, 2022
Denis Talay (INRIA & École Polytechnique): TBAFeb 11, 2022
Mireille Bossy (Sophia Antipolis, France ): TBAFeb 25, 2022 @ 12:30 UTC, one hour later than usual!
Xin Guo (University of California at Berkeley): TBAMar 11, 2022
Lukasz Szpruch (University of Edinburgh): TBAMar 25, 2022 @ 12:30 UTC, one hour later than usual!
Jianfeng Zhang (University of Southern California): TBAApr 08, 2022
Krzysztof Bogdan (Wrocław University of Science and Technology): TBAApr 22, 2022
TBAMay 06, 2022
François Delarue (Université de Nice SophiaAntipolis): TBAMay 20, 2022
Ying Hu (Université de Rennes 1, CNRS): TBAContact and links

Stefan Geiss: stefan.geiss[at]jyu.fi or stefanfriedrich.geiss[at]gmail.com

The online seminar is hosted by the Department of Mathematics
and Statistics (University of Jyväskylä) and supported by the journal Probability, Uncertainty and Quantitative Risk.