American Institute of Mathematics, Palo Alto, California
Jaksa Cvitanic, and Nizar Touzi
This workshop, sponsored by AIM and the NSF, will be devoted to developing and studying efficient numerical algorithms, based on probabilistic methods, for solving high-dimensional optimization/nonlinear problems in finance, and exploring the connection with the theory of Forward Backward Stochastic Differential Equations, while at the same time extending that theory. The workshop will bring together researchers in numerical methods, PDE's, Monte Carlo simulation, quantitative finance, Malliavin Calculus, Forward Backward Stochastic Differential Equations, nonparametric regression kernel techniques, and similar. We hope especially to facilitate communication on this topic between mathematicians, researchers from finance departments, and those from finance industry. The main topics for the workshop are
The application deadline for funding to participate in this workshop has passed.
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