NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: Dynamic programming for mean field optimal stopping
Prof Nizar Touzi (Ecole Polytechnique)
Abstract: We study the problem of optimal stopping of a population of mean field interacting McKean-Vlasov diffusions. The objective function depends on the distribution of the stopped process. We derive the dynamic programming equation for this problem as an obstacle equation on the Wasserstein space, and we characterize the nature of the optimal stopping rule.
About the Speaker
Nizar Touzi is Professor of Applied Mathematics at Ecole Polytechnique since 2006. He was previously Chair Professor at Imperial College London. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier prize of the French Academy of Sciences in 2012, and the Paris Europlace prize of Best Young Researcher in Finance in 2007. In 2010, he held the University of Toronto Dean's Distinguished Chair position. He is Co-editor and Associate Editor in various international journals in the fields of financial mathematics, applied probability, and control theory.
For more information on all our workshops & seminars, please visit Risk Management Institute website.
For enquiries, please contact Sinta Yowendra at sintayo@nus.edu.sg
Copyright 2006-2021 © NUS Risk Management Institute