11:15 to 12:30
Seminar

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

Olivier Guéant
Applied mathematics
11:15 to 12:30
    Salle 5, Site Marcelin Berthelot
    Open to all, subject to availability
    -

    Speaker(s)

    Olivier Guéant

    ENSAE ParisTech

    Events

    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (1)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (2)
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (3)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (4)
    Seminar
    11:15 to 12:30
    Snorre H. Christiansen

    On the notion of curvature in Regge calculus
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (5)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (6)
    Seminar
    11:15 to 12:30
    Guillaume Carlier

    Numerical methods for gradient flows in Wasserstein space
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (7)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (8)
    Seminar
    11:15 to 12:30
    Nicolas Lerner

    Onset of Instability for a Class of Non-Linear PDE Systems
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (9)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (10)
    Seminar
    11:15 to 12:30
    Yann Brenier

    Rank dynamics and applications
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (11)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (12)
    Seminar
    11:15 to 12:30
    Jean Dolbeault

    Symmetry and symmetry breaking in Caffarelli-Kohn-Nirenberg inequalities
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (13)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (14)
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (15)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (16)
    Seminar
    11:15 to 12:30
    Pierre-Louis Lions

    A new class of nonlinear Kolmogorov equations
    Lecture
    09:00 to 10:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (17)
    Lecture
    10:00 to 11:00
    Pierre-Louis Lions

    Singularities and discontinuities in Hamilton-Jacobi equations (18)
    Seminar
    11:15 to 12:30
    Nizar Touzi

    Viscosity solutions for path-dependent PDEs
    Seminar
    11:15 to 12:30
    Yves Achdou

    Hamilton-Jacobi equations with discontinuities : homogenization and dimension reduction
    Seminar
    11:15 to 12:30
    Cyril Imbert

    Harnack inequality for hypoelliptic kinetic equations with non-regular coefficients
    Seminar
    11:15 to 12:30
    Djalil Chafaï

    On the edge of certain interacting particle systems derived from or inspired by random matrix models
    Seminar
    11:15 to 12:30
    Jean-Yves Chemin

    The Fourier transform on the Heisenberg group : the " functions …
    Seminar
    11:15 to 12:30
    Bruno Ziliotto

    Stochastic homogenization of non-convex Hamilton-Jacobi equations : a counterexample
    Seminar
    11:15 to 12:30
    Nicolas Fournier

    Homogeneous Landau equation : uniqueness, particle approximation
    Seminar
    11:15 to 12:30
    Jean-Frédéric Gerbeau

    Approximate Lax pairs and numerical simulation in cardiac electrophysiology
    Seminar
    11:15 to 12:30
    Panagiotis Souganidis

    Scalar Conservation Laws with Rough Time Dependence
    Seminar
    11:15 to 12:30
    François Golse

    From the N-body quantum problem to the Vlasov equation
    Seminar
    11:15 to 12:30
    Olivier Guéant

    Study of Hamilton-Jacobi type equations in stochastic optimal control models for market making.…
    Seminar
    11:15 to 12:30
    Rémi Rhodes

    Liouville's quantum theory or the probabilistic theory of uniformization

    See also

    Lecture related to the seminar: Singularities and discontinuities in Hamilton-Jacobi equations
    Pierre-Louis Lions, chair Partial Differential Equations and Applications
    Applied mathematics