"A class of impulse control problems and related Quasi-variational inequalities"

Speaker: 

Professor Qingshuo Song

Institution: 

USC

Time: 

Tuesday, December 2, 2008 - 11:00am

Location: 

RH306

We consider impulse control problems motivated from portfolio
optimization with sub-additive transaction cost. We show that the
optimal strategy exists and the number of its jumps is integrable. The
value function is characterized by a new type of Quasi-variational
inequalities. It is a joint work with Jin Ma, Jing Xu, and Jianfeng
Zhang.

"On positive local solutions of nonlinear parabolic Ito equations"

Speaker: 

Professor Paul Chow

Institution: 

Wayne State University

Time: 

Tuesday, October 21, 2008 - 11:00am

Location: 

MSTB 254

For a class of semilinear stochastic parabolic equations of Ito type, under suitable conditions, we shall prove the existence of positive local solutions and their Lp-moments will blow up in a finte time for any p greater or equal to one.

Phase transition and universality for homopolymers based on stable walks.

Speaker: 

Professor Nicola Squartini

Institution: 

UCI

Time: 

Tuesday, October 14, 2008 - 11:00am

Location: 

RH 306

We consider a polymer measure based on random walks which are based on sums of iid stable random variables.
A Gibbs measure is defined which models an attraction to the origin for these walks. A phase transition occurs as the the strength of the attraction to the origin occurs.
We examine various "thermodynamic" quantities and show they are all related to each other in a simple way and exhibit universality.

Pages

Subscribe to RSS - Combinatorics and Probability