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Institute of Stochastics

Secretariat
Kollegiengebäude Mathematik (20.30)
Room 2.056 und 2.002

Address
Hausadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Englerstr. 2
D-76131 Karlsruhe

Postadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Postfach 6980
D-76049 Karlsruhe

Office hours:
Mo-Fr 10:00 - 12:00

Tel.: +49 721 608 43270/43265

Fax.: +49 721 608 46066

Talks and Slides of the Workshop 29.3.-1.4.2011


  • Hansjörg Albrecher (HEC Lausanne): Optimal dividends in random discrete time.
  • Erik Baurdoux (London School of Economics): The McKean stochastic game for spectrally negative Lévy processes. pdf
  • Sören Christensen (Christian-Albrechts-Universität zu Kiel): A method for pricing high-dimensional American options using infinite linear programming. pdf
  • Lukasz Delong (Warsaw School of Economics): Applications of time-delayed backward stochastic differential equations. pdf
  • Jitka Dupacova (Charles University, Prag): On the interplay of M-estimation and stochastic programming. pdf
  • Kathrin Glau (University of Vienna): Solving PIDEs for option pricing in Lévy models. pdf
  • Kurt Helmes (HU Berlin): Entry-and-exit problems with a finite number of cycles. pdf
  • Dominik Joos (Karlsruhe Institute of Technology): Modelling the spread between interest rates in interbank lending.

  • Heinz-Uwe Küenle (TU Cottbus) and Feitian Liu-Matzker (TU Cottbus): On the existence of stationary deterministic Nash equilibria in stochastic games. pdf
  • Sébastien Lleo (Reims Management School): On the Optimality of Kelly Strategies. pdf
  • Olaf Menkens (Dublin City University): Optimising Proportional Reinsurance Using a Worst Case Scenario Approach. pdf
  • Roman Muraviev (ETH Zürich): Learning, Diverse Beliefs and Long Run Issues in Heterogeneous Equilibrium.
  • Georg Pflug (University of Vienna): Measure-valued derivatives and applications. pdf
  • Huyen Pham (Université Paris 6-Paris 7): Optimal investment under multiple defaults risk: a BSDE-decomposition approach. pdf
  • Chris Rogers (University of Cambridge): Diverse beliefs and market selection. pdf
  • Jörn Sass (University of Kaiserslautern): Maximizing the asymptotic growth rate under fixed and propotional transaction costs in a financial market with jumps. pdf

  • Reiner Schlosser (HU Berlin) and Kurt Helmes (HU Berlin): A stochastic dynamic Dorfman-Steiner model. pdf
  • Leonie Selinka (University of Ulm): The Vanishing Discount Approach for risk-sensitive Optimal Control.
  • Tatiana Sinotina (TU Ilmenau): Concentration Inequality for Regularized Least Squares Regression. pdf
  • Halil Mete Soner (ETH Zürich): Risk measures and second order BSDE's. pdf
  • Lukasz Stettner (Polish Academy of Sciences, Warsaw): Optimal stopping with discontinuous cost functionals. pdf
  • Richard Stockbridge (University of Wisconsin-Milwaukee): On the existence of optimal strict controls. pdf
  • Krzysztof Szajowski (Wroclaw University of Technology): On a competitive management of the risk process. pdf
  • Stefan Thonhauser (Université de Lausanne): On optimal consumption strategies for a deterministic process on a finite time interval. pdf
  • Luitgard Veraart (London School of Economics): The relaxed investor with partial information.
  • Silvia Vogel (TU Ilmenau): Universal and Asymptotic Confidence Bounds for Level Sets. pdf
  • Martin Weber (HU Berlin): A comparison of the quality of risk sensitive policies and the optimal risk constrained policies for a special insurance model.
  • Marc Wittlinger (University of Ulm): Optimal portfolios in illiquid markets under a drawdown constraint.
  • Ralf Wunderlich (Zwickau University of Applied Sciences): Dynamic Portfolio Optimization Under Partial Information With Expert Opinions. pdf