Probabilités, Statistiques, Contrôle

Event type:
Seminar
Event name:
Proba-contrôle
Start at:
december 17, 2012
Place:
14h30, Salle 2.3.20
Responsible team:
OC
Title:
Probabilités, Statistiques, Contrôle
Detail:
  • 14h30 - [Nicolas Langrené] (Paris VI-VII).

    A probabilistic numerical method for optimal multiple switching
 problem and 

 application to investments in electricity generation.

  • 15h30 - Café et discussion.

  • 16h00 - [Stefano De Marco] (CMAP, Ecole Polytechnique).

    Varadhan's formula for projected diffusions and local volatilities in finance.