Advances in Stochastic Control and Optimal Stopping with Applications in Economics and Finance
Avancées en contrôle stochastique et arrêt optimal avec applications à l’économie et à la finance

12 – 16 September, 2022

Scientific Committee
Comité scientifique

Nicole El Karoui (École Polytechnique)
Peter Imkeller (Humboldt University-Berlin)
Bernt Øksendal (University of Oslo)
Wolfgang Runggaldier (University of Padova)
Halil Mete Soner (Princeton University)
Nizar Touzi (École Polytechnique)

Organizing Committee
Comité d’organisation

Rainer Buckdahn (Université Bretagne Occidentale)
Giorgio Ferrari (Bielefeld University)
Miryana Grigorova (University of Leeds)
Marie-Claire Quenez (Université de Paris)
Franck Riedel (Bielefeld University)

The interactions between stochastic control, optimal stopping, mathematical economics and mathematical finance will be at the core of the conference. This event will bring together leading experts and promising young researchers from different scientific backgrounds, interested in the interplay between theoretical and applied research. New developments in some of the most active research fields will be presented, such as: robustfinance, backward stochastic differential equations, non-linear expectations and non-linear optimal stopping, singular stochastic control, model-freefinance, principal-agent problems, mean-field games, behavioural finance, market equilibria. The conference will place an emphasis on the connections between the areas and on directions for future research. We expect a high-level and high-impact event which will inspire new collaborations and will
open avenues for new applications.

Bruno Bouchard (Université Paris Dauphine PSL)    Ito’s formula for C 1 path-dependent functionals and regularity of approximate viscosity solution of path-dependent PDEs
Abel Cadenillas (University of Alberta)   Optimal Insurance Contract When the Number of Claims is a Cox Process
Giorgia Callegaro (University of Padova)   A McKean-Vlasov game of commodity production, consumption and trading (online)
Claudia Ceci (University of Rome « La Sapienza)   Optimal reinsurance via BSDEs in a partially observable contagion model
Stéphane Crépey (Université de Paris)   Invariance Times Transfer Properties
Jakša Cvitanić (California Institute of Technology)   Large Tournament Games (online)
Tiziano De Angelis (University of Turin)   A change of variable formula with applications to multi-dimensional optimal stopping problems
Nicole El Karoui (Sorbonne Université) Pathwise construction of concave value function, from its ”optimum ”: a forward inverse problem
Hans Föllmer (Humboldt University of Berlin)  Entropy, Energy, and Optimal Couplings on Wiener Space
Xin Guo (University of California, Berkeley)   Some recent progress for continuous-time reinforcement learning and convergence rate
Saïd Hamadène (Université du Maine)   Mean-field Doubly Reflected backward SDEs and zero-sum Dynkin games (online)
Elyès Jouini (Université Paris-Dauphine – PSL)   Equilibrium CEO contract with Belief Heterogeneity
Benjamin Jourdain (École des Ponts ParisTech)   Approximation of martingale couplings on the real line in the adapted weak topology
Yuri M. Kabanov (Université de Franche-Comté)   Ruin theory with risky investments
Sigrid Källblad (KTH Royal Institute of Technology)   Controlled measure-valued martingales: a viscosity solution approach
Ioannis Karatzas (Columbia University)   Control and Stopping of Spider Semimartingales  (online)
Maike Klein (Vienna University of Technology)   On a time-inconsistent optimal stopping problem with expectation constraint
Tomasz Klimsiak (Nicolaus Copernicus University)  Reflected BSDEs with integrable data – existence, a priori estimates and related non-linear Dynkin games
Damien Lamberton (Université Gustave Eiffel)   Regularity of the free boundary: a probabilistic approach
Shige Peng (Shandong University)   Stochastic differential equations driven by g-Brownian motion (online)
David Prömel (University of Mannheim)  
Model-free portfolio theory: a rough path approach
Philip Protter (Columbia University)   Simultaneous occurrences
Marie-Claire Quenez (Université Paris-Diderot)   European options in a non-linear incomplete market model with default
Martin Schweizer (ETH Zürich)   Mean-variance portfolio selection revisited
Ludovic Tangpi (Princeton University)   Optimal investment in a large population of competitive and heterogeneous agents
Nizar Touzi (École polytechnique de Paris)  Mean-field Optimal Stopping
Hao Xing (Boston University)   The Dark Side of Circuit Breakers
Jianfeng Zhang (University of Southern California)   Set Valued HJB Equations (online)
Mikhail Zhitlukhin (Steklov Institute Moscow)   Optimal growth strategies in a market with endogenous prices


Achraf Bouhmady (Universite Mohamed 5 de Rabat)   The optimal pricing strategy for launching a new product in a constrained market
Jasmina Djordević (University of Oslo)  Time-changed Levy process and application of stopping problems to RBSDEs 
Yuqiong Wang (Uppsala University)   Dynkin ghost games with consolation
Shihao Zhu (Bielefeld University)   Optimal Consumption, Portfolio and Best Time for Health Investment



Chaire Risques Financiers


SFB 1283
Taming uncertainty and profiting from randomness and low regularity in analysis, stochastics and their applications