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Past Conferences

UAIC

Jena

Manchester

Roscoff

Milano

Marrakech

Progress report

On the first four years of activity (1/10/2008 - 30/09/2012), the Initial Training Network project fulfilled its main objective, that of recruiting the planned number of PhD students. Also, according to the schedule of the project, there were organized seventeen network events: a school followed by a workshop in Jena, Manchester, Brest, Marrakech, Milano, Iasi and two training workshops in Jena, one in Brest, one in Marrakech and one in Iasi.

All the Early Stage Researchers recruited by the ITN Network undergo a local research and training programme as well as a network-wide training programme.

1. The local research and training consists of:

  • attending specialized courses as well non-specialized courses (e.g. foreign languages);
  • weekly seminars concerning actual research problems; the seminars organized in the form of discussions with the participating researchers and talks given by the ESR;
  • study of specialized literature under supervision of the responsible scientist.

2. The network wide training courses:

  • participation to the School and the Workshop in Jena (March, 2009);
  • participation to the School and the Workshop in Manchester (August, 2009);
  • participation to the School and the Workshop in Roscoff(March, 2010);
  • participation to the Workshop in Jena (June, 2010);
  • participation to the School and the Workshop in Marrakech (December, 2010);
  • participation to the Workshop in Jena (March, 2011);
  • participation to the School and the Workshop in Milano (June,July 2011);
  • participation to the School in Brest (March 2012);
  • participation to the Workshop in Marrakech (April 2012);
  • participation to the School and the Workshop in Iasi (June, July 2012);
  • participation to the Workshop in Iasi (September 2012).

Main network events:

Spring School Finance and Insurance - Stochastic Analysis and Practical Methods, 2-13 March 2009, Jena

Name of participant Status of the participant, origin Name of the talk
Andrii ANDRUSIV ESR, Jena Ruin Probabilities for the Cramer-Lundberg Model with Stochastic Premiums
Matteo BEDINI ESR, Brest An Information-Based Approach to Credit-Risk Modelling
Elena ISSOGLIO ESR, Jena Multidimensional Stochastic Bridges: A Study via SDEs
Monique JEANBLANC VS Credit Risk Modeling
Shuai JING ESR, Brest Introduction to G-expectation, G-Brownian Motion and G-Backward SDEs
Qian LIN ESR, Brest Stochastic Differential Equations Driven by a G-Brownian Motion
Yuri KABANOV VS Introduction to the Theory of Financial Markets with Transaction Costs (series of lectures)
Holger METZLER ESR, Milano The Ito-Nisio Theorem
Youssef OUKNINE ITN member, Marrakech Fubini Stochastic Theorem for Lévy Sheet abd Applications
Adrian ZALINESCU ITN member, Iasi Variational Inequalities Driven by Lévy Processes

Workshop Finance and Insurance, 16-20 March 2009, Jena

Name of participant Status of the participant, origin Name of the talk
Khaled BAHLALI ITN member, Brest Some BSDEs and Semilinear PDEs with Discontinuous Coefficients. Applications to the Homogenization of PDEs
Seid BAHLALI ITN member, Marrakech General Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
Rainer BUCKDAHN Scientific Coordinator, Brest Mean-Field BSDEs-Properties and Associated Nonlocal PDEs
Boulakhras GHERBAL ITN member, Marrakech Optimality Conditions of Controlled Backward Doubly Stochastic Differential Equations
Monique JEANBLANC VS A Density Model for Credit Risk: What Happens after Default?
Yuri KABANOV VS

Financial Markets with Friction
Brahim MEZERDI ITN member, Marrakech Existence and Optimality Necessary in Stochastic Control of  FBSDEs
Marc QUINCAMPOIX ITN member, Brest On Limiting Values of Stochastic Differential Equations with Small Noise Intensity Tending to Zero
Catherine RAINER ITN member, Brest Existence of an Optimal Control for Stochastic Control Systems with Nonlinear Cost Functional
Aurel RASCANU Coordinator, Iasi Stochastc Variational Inequalities in Noncovex Domains
Tusheng ZHANG ITN member, Manchester Boundary Value Problems of Second Order Elliptic Operators with Singular Coefficients

Marie Curie Summer School in Stochastic Analysis, 10-21 August 2009, Manchester

Name of participant Status of the participant, origin Name of the talk
Rainer BUCKDAHN Scientific Coordinator, Brest Backward stochastic differential equations and related method in stochastic control (series of lectures)
Ron DONEY ITN member, Manchester Fluctuation theory of Levy processes (series of lectures)
Anouar Mohamed GASSOUS ESR, Iasi Stochastic differential equations with oblique reflection
Elena ISSOGLIO ESR, Jena On a stochastic transport equation with fractional noise
Bernt ØKSENDAL VS Malliavin calculus for Levy processes and applications (series of lectures)
Marcus RIEDLE ITN member, Manchester Stochastic processes in Banach spaces (series of lectures)
Juan YANG ESR, Manchester White noise driven SPDEs with two reflected walls
Tusheng ZHANG ITN member, Manchester Stochastic evolution equations and stochasticpartial differential equations ( series of lectures)

Conference on Stochastic Differential Equations, Stochastic Partial Differential Equations and Related Topics, 24-28 August 2009, Manchester

Name of participant Status of the participant, origin Name of the talk
Viorel BARBU ITN member, Iasi The ergodicity of a phase field system perturbed by noise
Rainer BUCKDAHN Scientific Coordinator, Brest Nonlinear stochastic differential games involving a major player and a large number of minor players
Ovidiu CARJA ITN member, Iasi Regularity of the state constrained minimal time function
Hans-Jurgen ENGELBERT ITN member, Brest On normal martingales and the structure equation: a new approach
Teodor HAVARNEANU ITN member, Iasi On the convergence of an approximation scheme for the viscosity solution of the Bellman equation arising in a stochastic optimal control problem
Lucian MATICIUC ITN member, Iasi BSVIs under locally bounded growth
Bernt ØKSENDAL VS Optimal control of PDEs and forward-backward SDEs, with applications to risk minimization
Marc QUINCAMPOIX ITN member, Brest Stochastic optimal control and linear programming approach
Martina ZAHLE ITN member, Jena Heat kernels, potential spaces and applications to SPDE
Adrian ZALINESCU ITN member, Iasi Viscosity solutions for systems of parabolic variational inequalities

Spring School on Stochastic Control in Finance, 8-17 March 2010, Brest (Roscoff)

Name of participant Status of the participant, origin Name of the talk
Juan LI & Rainer BUCKDAHN VS and Scientific Coordinator, Brest 2 Persons Zero-Sum Stochastic Differential Games
Marco FUHRMAN & Fausto GOZZI ITN members, Milan Hamilton Jacobi Bellman equations in infinite dimensions
Elena ISSOGLIO ESR, Jena-Manchester The pathwise solution of an SPDEs with fractal noise
Hanbing LIU ESR, Iasi Maximum principle of State-Constraint optimal control governed by Navier-Stokes equations in 2D
Holger METZLER ESR, Milan Backward stochastic differential equations with infinite time horizon
Victor POSTOLACHE ESR, Iasi Filippov Type estimates for fully non linear differential inclusions

Workshop on Stochastic Control in Finance, 18-23 March 2010, Brest (Roscoff)

Name of participant Status of the participant, origin Name of the talk
Matteo BEDINI ESR, Brest-Jena Brownian bridge on Stochastic Interval
Ovidiu CARJA ITN member, Iasi On strong invariance for semi linear differential inclusions
Mhamed EDDAHBI ITN member, Marrakech Fractional SPDEs driven by spatially correlated noise: existence of the solution and smoothness of its density
Hans-Juergen ENGELBERT ITN member, Jena On stochastic exponentials
El Hassan ESSAKY ITN member, Marrakech Existence and uniqueness of solution for multidimensional BSDE with local conditions on the coefficient
Mohammed Anouar GASSOUS ESR, Iasi Some areas of applications of SDE (BSDE) with oblique reflection
Theodor HAVARNEANU ITN member, Iasi A Trotter Scheme for Navier Stokes equations
Shuai JING ESR, Brest Semilinear SPDEs driven by an fBM of Hurst parameter H in (0.1/2)
Qian LIN ESR, Brest Representation of G-martingales as stochastic integrals with respect to G-Brownian motion
Federica MASIERO ITN member, Milan A stochastic optimal control problem for the Heat equation on the Halfline with Dirichlet Boundary-noise and Boundary-control
Tianyang NIE ESR, Iasi The viability of stochastic differential equation driven by fractional Brownian motion
Youssef OUKNINE ITN member, Marrakech The bounded variation of the flow of stochastic differential equation
Marc QUINCAMPOIX ITN member, Brest Boundary value problems for second order stochastic differential equations with small parameters
Aurel RASCANU ITN member, Iasi Stochastic variational inequalities with oblique subgradents
Markus RIEDLE ITN member, Manchester Stochastic integration for Levy processes in Banach spaces
Paolo DI TELLA ESR, Milan Linear Stochastic Schrödinger and Master Equations
Martina ZAHLE ITN member, Jena Semigroups and stochastic partial (pseudo) differential equations on measure spaces
Tusheng ZHANG ITN member, Manchester Semilinear Elliptic PDEs with singular coefficients
Ying HU ITN member, Brest Quadratic and Superquadratic BSDEs and Related PDEs

Workshop on Enlargement of Filtrations and Applications to Finance and Insurance, May 30 - June 04, 2010, Jena

Name of participant Status of the participant, origin Name of the talk
Monique JEANBLANC VS Enlargement of Filtrations- An Introduction (270 minutes)
Andrii ANDRUSIV ESR, Brest Two Examples Related to Minimal entropy Martingale Measures
Matteo BEDINI ESR, Brest-Jena Modelling Information for Credit Risk

Autumn School on Stochastic Control Problems for FBSDEs and its Applications, 1-11 December 2010, Marrakech

Name of participant Status of the participant, origin Name of the talk
Elena ISSOGLIO ESR, Jena-Manchester On a stochastic transport equation with fractale noise
Andrii ANDRUSIV ESR, Jena On Minimal Entropy Martingale Measures
Aurel RASCANU Coordinator, Iasi Stochastic Variational Inequalities (series of lectures)
Christine GRUN ESR, Brest Stochastic Differential Games with Incomplete Information
Victor POSTOLACHE ESR, Iasi Approximate weak invariance for semilinear differential inclusions in Banach spaces
Rainer BUCKDAHN Scientific Coordinator, Brest Regularity properties of Hamilton-Jacobi-Bellman equations. A BSDE approach (series of lectures)
Adrian ZALINESCU ITN member, Iasi Control problems for SDEs with oblique reflection
Soufiane AAZIZI ESR, Marrakech Portfolio-constrained Backward SDEs with Jump and Related variational inequality
Youssef OUKNINE ITN member, Marrakech Pathwise uniqueness for SDE with jumps and local time
M'hamed EDDAHBI ITN member, Marrakech On a class of BSDE with quadratic growth
Mateo BEDINI ESR, Jena-Brest Information process and enlargement of filtration
Mohamed ERRAOUI ITN member, Marrakech  
Huyen PHAM VS Stochastic control in finance (series of lectures)
Stephane CREPEY VS BSDE modeling of financial derivatives (series of lectures)
Said HAMADENE VS Optimal switching and BSDEs (series of lectures)
Monique PONTIER VS Pricing rules under asymmetric information (series of lectures)
Andrzej  ROZKOSZ VS BSDEs and PDEs in divergence form (series of lectures)

International Conference on Control Problems and Related Topics, 11-18 December 2010, Essaouira (Marrakech)

Name of participant Status of the participant, origin Name of the talk
Viorel BARBU ITN member, Iasi The dual Hamilton-Jacobi Equation associated with Stochastic Optimal Control
Teodor HAVARENEAU ITN member, Iasi Remarks on Controlability results of Magnetobydiodynamic Equations
Eduard Rotenstein ITN member, Iasi Convex optimization problems and BSDEs driven by maximal monotone operators
Brahim MEZERDI ITN member, Marrakech On some aspects of singular stochastic control
Marc QUINCAMPOIX ITN member, Brest Lipschitz Continuity and Semiconcavity Properties of the Value Function of a Stochastic Control
Catherine RAINER ITN member, Brest Regularity properties of Hamilton-Jacobi-Bellman equations
Holger METZLER ESR, Milan An ergodic stochastic game with n players
Mohamed HASSANI ITN member, Marrakech General existence results for BSDE
Tusheng ZHANG ITN member, Manchester Small Random Perturbation of a kind of FBSCS
Hans-Jürgen  ENGELBERT ITN member, Jena  
El Hassan ESSAKY ITN member, Marrakech BSDE With Two Reflecting Barriers and Stochastic Quadratic Growth: Application to Dynkin Game
Khaled BAHLALI ITN member, Brest Unicite forte pour une EDS a coefficients de croissance surlineaire

Stochastic Models in Finance and Insurance, March 21 - April 1, 2011, Jena (Germany)

Name of participant Status of the participant, origin Name of the talk
Aazizi, Soufiane ESR, Marrakech  
Andrusiv, Andrii ESR, Jena On Minimal Entropy Martingale Measures
Bedini, Matteo ESR, Jena-Brest Information and Credit Risk
Blei, Stefan ER, Brest  
Buannic, Fanny Project manager, Brest  
Buckdahn, Rainer Scientific Coordinator, Brest  
Diomande, Bakarime ESR, Iasi SDEs with delay
Di Tella, Paolo ESR, Jena  
Eddahbi, Mhamed ITN member, Marrakech Chaos Expansion of some Functionals of the fBm and Levy Processes and Applications
El Asri, Brahim ER, Jena  
Engelbert, Hans-Jurgen ITN member, Jena  
Grun, Christine ESR, Brest  
Hinz, Michael ITN member, Jena  
Ibragimov, Anton ESR, Milano Parabolic SDE in Infinite Dimensions over G-expectatins
Issoglio, Elena ESR, Jena-Brest  
Jing, Shuai ESR, Brest SPDE driven by a Fractional Brownian Motion of Hurst Coeffcient 1/2<H<1. Study through its Doubly Stochastic Interpretation
Lin, Qian ESR, Brest Nash Equilibria for 2-Persons Non-Zero Sum Stochastic Differential Games in a general Setting
Maticiuc, Lucian ITN member, Iasi Multivalued Backward Stochastic Differential Equations driven by Fractional Brownian Motion with Hurst Parameter H > 1/2
Metzler, Holger ESR, Milano  
Quincampoix, Marc ITN member, Brest  
Rainer, Catherine ITN member, Brest Holder Regularity for Viscosity Solutions of fully Nonlinear Hamilton-Jacobi Equations with Super-Quadratic Growth in the Gradient
Rascanu, Aurel Coordinator, Iasi  
Rotenstein, Eduard Paul ITN member & Project manager, Iasi  
Yang, Juan ESR, Iasi Existence and Uniqueness of Invariant Measure of SPDE with Reflection
Zahle, Martina ITN member, Jena