Stochastic Analysis and its Applications (18w5080)
Walter Schachermayer (University of Vienna)
Constantinos Kardaras (London School of Economics)
Gordan Zitkovic (The University of Texas at Austin)
The workshop will build upon two previous ones (16w5134 and 14w5116) that were deemed extremely successful by our academic community. In this iteration, we plan to put greater emphasis on stochastic analysis and its methods, as opposed to purely applied work; this way, we shall attract a broader researcher group, aiming both at enriching the ideas and toolbox that can be applied in mathematical finance, and attracting other fields into research problems that require a novel vantage point. While traditional topics - such as stochastic control and optimization - will certainly be part of the discussion, we plan to focus more on research directions such as infinite-dimensional stochastic systems including mean-field interactions and stochastic partial differential equations, rough paths, multi-dimensional semi-martingale optimal transport, and backwards/reflected stochastic differential equations. While these areas have already found applications in finance (such as volatility modeling and trading, market frictions, hedging, financial equilibrium, large limit order books, robust modeling), the extent of potential interactions with other disciplines has not been fully explored. The timing to do so seems perfect, with a large inflow of excellent junior researchers with cross-disciplined education that we plan to attract.
We plan to bring together 42 of the world's most eminent researchers in stochastic analysis (and connections with mathematical finance) in order to consolidate the field's efforts in strengthening the mathematical side and fostering further connections with a range of mathematical disciplines. A mix of senior, experienced scientists and promising junior colleagues will be invited, with a slight preference to the latter junior group. Special attention will be given to the diversity of the group. We also plan to invite European and Asian mathematicians in addition to those from North America (Canada, United States and Mexico will all be represented).
The format of the workshop will call for organized presentations by some of our visitors in the mornings, with less structured afternoons reserved for small-group work and informal discussions.