### Fédération de Recherche Mathématiques des Pays de Loire

FR CNRS 2962

Paulwin GRAEWE goulian-a ven 18/05/2018 - 08:50

Since several years, Paulwin and I worked and published some articles on similar topics. Last year I was invited in Berlin to gather these competencies. Since then, Paulwin and I, together with Ulrich Horst and Guanxing Fu, we are working on the mean field game of optimal portfolio liquidation. Besides the financial application, this mean-field optimal control problem is related to a mean-field forward backward stochastic differential equation with a terminal singularity. We have obtained a first result on this topic which has been submitted very recently: solvability of the FBSDE in a new weighted integrability space, using a partial decoupling field and approximation of the Nash equilibrium. Nevertheless our requirement on the parameters of the model is quite strong, compared to the single player case. We have already raised this point during our discussions and one aim of this invitation is to enlarge the parameters setting. Until now we worked in the Brownian filtration. The second point involves working in a general filtration, for example to take into account the noise induced by the use of a dark pool for liquidation. There are also several points concerning the theory of singular BSDE we want to discuss : - asymptotic approach of GHS - existence by considering the reciprocal - existence by Perron's method / cp - uniqueness under L^\infty assumptions. This invitation is a great opportunity to develop these subjects together.

Date début de l'évènement
Date de fin l'évènement
Support

## Jing ZHANG

Durant cette visite, nous allons terminer un article sur l’étude des EDPS parabolique quasilinéaires avec 2 obstacles. Dans ce premier travail, nous avons développé une approche probabiliste. Dans un second temps, nous étudierons le même problème mais en développant une approche analytique.

Date début de l'évènement
Date de fin l'évènement
Support

## Advances in Statistics for random processes

Le but de cette conférence est de réunir les chercheurs internationaux de très haut niveau supérieur et les jeunes chercheurs pour présenter leurs travaux récents en statistique (mathématique) des processus aléatoires. L'accent est mis sur la statistique asymptotique des processus en temps continu ou en temps discret. La thématique de cette conférence couvre également les applications de la statistique des processus aléatoires en biologie, finance et informatique.

Date début de l'évènement
Date de fin l'évènement
Support
Journées de Probabilités 2016 Anonyme mer 03/05/2017 - 11:27

Les Journées de Probabilités existent depuis plus d'une quarantaine d’années et sont un rendez-vous annuel important de l’école de probabilités française. Elles permettent de dresser un panorama des dernières avancées de la recherche en probabilités (et leurs applications) dans toutes ses tendances et de donner la parole aux jeunes chercheurs et aux doctorants. Cette rencontre est habituellement organisée soit par les éditeurs du journal Séminaire de Probabilités au CIRM, soit par des laboratoires de probabilités des universités de province.

Date début de l'évènement
Date de fin l'évènement
Support
[Matpyl, Le Mans] 5th Colloquium on Backward Stochastic Differential Equations, Finance and Applications Anonyme mer 03/05/2017 - 11:27

Le 5th Colloquium on Backward Stochastic Differential Equations, Finance and Applications sera organisé au Mans, du 18 au 20 Juin 2008, à l'Université du Maine.
[pour en savoir plus](http://www.univ-lemans.fr/~apopier/colloque/index.html)

Date début de l'évènement
Date de fin l'évènement
[Matpyl, Le Mans] Asymptotical Statistics of Stochastic Processes VII Anonyme mer 03/05/2017 - 11:27

Université du Maine, Le Mans, 16-19 March, 2009 The purpose of this workshop is to stimulate research in statistical inference for continuous time stochastic processes. This branch of mathematical statistics attracts more and more attention of the statisticians and probabilists because first: the real systems are often well described by the continuous time mathematical models (point processes, diffusion processes, stochastic differential equations with partial derivatives, stable processes etc.) and the second: the diversity of the models and the diversity of the statements of the statistical problems make these models quite attractive for the mathematicians because all these allow to obtain many new results which sometimes have no analogue in discrete time models.

Note that solutions obtained for continuous time models can be valid for discrete schemes of observation too. The computer realizations of the statistical algorithms (real data applications) requires that a special attention have to be payed to the effects due to discretization of continuous-time trajectories. Therefore, we wait that one (important) part of the talks will be devoted to statistical inference for discrete time observations (of continuous time systems).

Note as well, that statistical problems for stochastic processes are in the field of interests of the research teams of the universities of Rennes, Angers and Le Mans, hence this workshop can be considered as a current three-days seminaire triangulaire traditionally organized by these universities.

http://www.univ-lemans.fr/sciences/statist/liens/activites/Workshop/saps7/saps7.html

Date début de l'évènement
Date de fin l'évènement
Support

## Trimester on Contact and Symplectic Topology

Summer 2011, Nantes, Laboratoire Jean Leray, France :

A special trimester on Contact and Symplectic Topology will be held at Nantes University during the summer 2011.

Lien pour visualiser l'affiche : Affiche_1.pdf (331.53 Ko)

* Researchers in the field will be invited for extended periods at Laboratoire Jean Leray


throughout the trimester. Researchers are welcome to interact and to give mini lectures on their favorite topics.

The peak of the activity held from may 30th to june 17th 2011 will consist of:

• A two weeks summer school (may 30th - june 10th)
• An international conference (june 13th - june 17th)

Link of the web site:http://yann.rollin.free.fr/tcst.php

Date début de l'évènement
Date de fin l'évènement
Support
Journée EDP stochastiques non linéaires et applications Anonyme mer 03/05/2017 - 11:27

Le Mans (France), March 25, 2011

The focus of this workshop is on stochastic partial differential equations (SPDEs) along with their applications :

* forward utility in finance
* numerical methods
* rough paths theory


The workshop aims at bringing together reserchers in the field of SPDE with different applications (in particular mathematical finance).

Date début de l'évènement
Date de fin l'évènement
Support

## Mini-Colloquium on Switching Problems and Applications

Mini-Colloquium on Switching Problems and Applications organisé le 22 mai 2014 au Laboratoire Manceau du Mans en partenariat avec l'Institut Royal de Technologies (KTH Stockholm), l'Institut du risque et de l'Assurance, le Conseil général de la Sarthe, le Mans Métropole et la Région des Pays de Loire.

Confirmed speakers : Jean-François Chassagneux (Imperial College, London, UK)
Romuald Elie (University of Marne La Vallée, France)
Idris Kharroubi (University of Paris-Dauphine, France)
Marie-Amélie Morlais (University of Le Mans, France)
Marcus Olofsson (University of Uppsala, Sweden)
Huyen Pham (University Denis Diderot, France)
Marie-Claire Quenez (University Denis Diderot, France)
Michael Zervos (LSE, London, UK)

Scientific Committee : Boualem Djehiche (KTH, Stockholm, Sweden)
Hamadène Said (University of Le Mans, France)
Huyen Pham (University Denis Diderot, France)
Romuald Elie (University of Marne La Vallée, France)
Jianfeng Zhang (University of South California, California, USA)
Marie-Amélie Morlais (University of Le Mans, France)
Marie-Claire Quenez (University Denis Diderot, France)

Organizing committee : Boualem Djehiche (KTH, Stockholm, Sweden), Said Hamadène (LMM, University of Le Mans, France) and Marie-Amélie Morlais (LMM, University of Le Mans, France).

Plus d'informations

Date début de l'évènement
Date de fin l'évènement
Support

## Asymptotical Statistics of Stochastic Processes IX

WORKSHOP Asymptotical Statistics of Stochastic Processes – IX, Le Mans, 2013 March 11 - 14

Laboratoire Manceau de Mathématiques - Faculté des Sciences – Université du Maine

Date début de l'évènement
Date de fin l'évènement
Support