CONFERENCE
Probability, finance and signal
Probabilités, finance et signal
19 – 23 May, 2025
Conference in Honor of René Carmona
Scientific Committee
Comité scientifique
Nicole EL Karoui (Sorbonne Université)
Jean-Pierre Fouque (University of California Santa Barbara)
Terry Lyons (University of Oxford)
Bruno Torresani (Aix-Marseille Université)
Nizar Touzi (École polytechnique)
Organizing Committee
Comité d’organisation
Beatrice Acciaio (ETH Zürich)
Stéphane Crepey (Université Paris Cité)
François Delarue (Université Côte d’Azur)
Daniel Lacker (Columbia, New-York)
Mathieu Laurière (NYU Shanghai)
Mike Ludkovski (UC Santa Barbara)
Sergey Nadtochiy (Illinois Institute of Technology)
Nadia Oudjane (EDF, Paris)
The conference will bring together international specialists related to the scientific work of René Carmona, a native of Marseille and currently a professor at Princeton. The topics discussed will cover stochastic analysis, and more generally, probability theory and its connections with partial differential equations, with a particular focus on models of rational agents in mean-field interaction and their applications to financial mathematics. Several presentations will also address signal theory, another area René Carmona has worked on throughout his career.
René Carmona is a leading member of the applied mathematics community. He has been a professor at Princeton University since 1995. He has gained international prominence in stochastic analysis, financial mathematics and signal theory. He has nearly 130 publications referenced on the bibliometric site ‘MathSciNet’ and has authored, among others, seven books on all these subjects, including two books on mean-field game theory, for which he was awarded the American Mathematical Society’s Doob Prize in 2020. He was founding editor of several journals that are now recognized as among the best in the field: Electronic Journal of Probability, Electronic Communications in Probability and SIAM Journal on Financial Mathematics.
René Carmona was born in Marseille in 1947. He was assistant professor at the University of Marseille from 1972 to 1978, where he obtained his doctorate in 1977. He then moved to Saint-Etienne, before leaving France in the early 1980s to pursue a brilliant career in the USA. The community close to René Carmona’s subjects now wishes to honor his career by organizing a conference. With his agreement and the unanimous agreement of his close colleagues, it was agreed that Marseille was the best place for this. René Carmona has retained a very special attachment to the city of his birth.
La conférence réunira parmi les meilleurs spécialistes d’analyse stochastique et de mathématiques financières, deux des thématiques les plus étudiées par René Carmona au cours de ses années à Princeton, et aussi de traitement du signal. Une large place sera aussi faite à l’accueil de jeunes chercheurs, dont beaucoup travaillent aujourd’hui sur des sujets auxquels René Carmona a contribué de façon significative.
René Carmona est un membre éminent de la communauté des mathématiques appliquées. Il est professeur à l’Université de Princeton depuis 1995. Il a acquis une visibilité internationale de premier plan en analyse stochastique, mathématiques financières et théorie du signal. Il a près de 130 publications référencées sur le site bibliométrique ‘MathSciNet’ et a parmi d’autres rédigé sept livres sur l’ensemble de ces sujets, dont deux ouvrages sur la théorie des jeux à champ moyen, qui lui ont valu en 2020 le prix Doob de l’American Mathematical Society. Il a été éditeur fondateur de plusieurs revues devenues aujourd’hui reconnues comme parmi les meilleures dans les domaines : Electronic Journal of Probability, Electronic Communications in Probability et SIAM Journal on Financial Mathematics.
René Carmona est né en 1947 à Marseille. Il a été maître assistant à l’Université de Marseille de 1972 à 1978 et y a obtenu son doctorat d’état en 1977. Il est parti ensuite à Saint-Etienne, avant de quitter la France aux débuts des années 80 et de poursuivre une brillante carrière aux Etats-Unis. La communauté proche des sujets de René Carmona souhaite aujourd’hui honorer sa carrière par l’organisation d’une conférence. Avec son accord et à l’unanimité des collègues qui lui sont proches, il a été convenu que Marseille était le meilleur endroit pour cela. René Carmona a en effet gardé un attachement très particulier pour sa ville de naissance.
SPEAKERS
Clémence Alasseur (EDF) Applications to Energy Savings : A Rank-Based Reward between a Principal and a Field of Agents
Yacine Ait-Sahalia (Princeton University) Saddlepoint Approximations for Hawkes Jump-Diffusion Processes with an Application to Risk Management
Mireille Bossy (INRIA Sophia Antipolis) Intermittency models based on integrated Volterra processes
Pierre Cardaliaguet (Université Paris Dauphine) Long time behavior of mean field games with a common noise
Quentin Cormier (INRIA) The Kuramoto Mean Field Game
Albina Danilova (London School of Economics) Risk Aversion of Insider and Asymmetric Information
Gökçe Dayanıklı (University of Illinois Urbana-Champaign) Cooperation, competition, and common pool resources in mean field games
François Delarue (Université Côte d’azur) Mean-field control with Dirichlet-Fergusson common noise
Bruno Dupire (Bloomberg) Some Financial Applications of the Functional Itô Calculus
Valdo Durrleman (Eisler Capital London) An example of stochastic games arising in stock markets
Peter Friz (TU Berlin) Rough stochastic differential equations
Xin Guo ( UC Berkeley, California) Continuous-time mean field games: a primal-dual characterization
Emma Hubert (Princeton University) A new approach to principal-agent problems with volatility control
Daniel Lacker (Columbia University) Sharp quantitative propagation of chaos for mean field and non-exchangeable systems
Mathieu Lauriere (NYU Shanghai) An Efficient On-Policy Deep Learning Framework for Stochastic Optimal Control
Pierre-Louis Lions (Collège De France, Paris) Analysis in high dimension
Mike Ludkovski (University of California Santa Barbara) Natural gas forward curves: from convenience yields to additive Gaussian processes
Terry Lyons (Oxford University) Applications of rough path theory
Roland Malhamé (Polytechnique Montréal) A social discrete choice model under congestion
Sergey Nadtochiy (Illinois Institute of Technology) Second order mean-curvature flow as a mean-field game
Anastasia Papavissiliou (University of Warwick) An inverse function theorem for Ito maps, with application to statistical inference for random rough differential equations
Ronnie Sircar (Princeton University) Some Continuum Aggregate Games
Denis Talay (Inria Sophia-Antipolis) A statistical test to show evidence of the infinite expectation of Ren´e’s energy
Peter Tankov (ENSAE) Propagation of carbon price shocks through the value chain: the meanfield game of defaults
Mike Tehranchi (University of Cambridge) The dynamics of martingale marginals
Bruno Torrésani (Aix-Marseille Université) Cortical wavelets and sparse Bayesian learning for brain source localization and reconstruction
Frederi Viens (Rice University, Texas) Asymptotics of Yule’s nonsense correlation: can one test the dependence of two random walks as they converge in law to Brownian paths?
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