Applications of Stochastic Control to Finance and Economics (Cancelled) (21w5116)


Dylan Possamaï (ETH Zürich)

Jakša Cvitanić (Caltech)

George Georgiadis (Northwestern University)

Nizar Touzi (New York University)


The Banff International Research Station will host the "Applications of Stochastic Control to Finance and Economics" workshop in Banff from May 9 to May 14, 2021.

A distinguished feature of the last few decades is the increasing availability of technological innovations to an everyday broader spectrum of society. This phenomenon has rapidly paved the way for the development of new economies such as e-commerce, sharing economies and online advertising. These activities are characterised by, for instance, a higher number of agents from both the supply and demand side, and an unprecedentedly large menu of tailor-made and personalised services. Naturally, this has led to more intricate behaviours and interactions at all levels of the economy. Consequently, there is a pressing need for the creation of economic theories that are able to explain the rationale of the participants, the way their actions are aggregated in society, and which are compatible with documented evidence.

This workshop will reunite specialists of stochastic control and economic theory, who will work and explore how recent theoretical developments in their respective fields can be applied to these newly identified problems.

The Banff International Research Station for Mathematical Innovation and Discovery (BIRS) is a collaborative Canada-US-Mexico venture that provides an environment for creative interaction as well as the exchange of ideas, knowledge, and methods within the Mathematical Sciences, with related disciplines and with industry. The research station is located at The Banff Centre in Alberta and is supported by Canada's Natural Science and Engineering Research Council (NSERC), the U.S. National Science Foundation (NSF), Alberta's Advanced Education and Technology, and Mexico's Consejo Nacional de Ciencia y Tecnología (CONACYT).