Probabilités, Statistiques, Contrôle

Event type: Seminar (Proba-contrôle)
Start at: december 17, 2012
Place: 14h30, Salle 2.3.20
Link: Page Web du Séminaire
Responsible team: OC

  • 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.