siehe Beschreibung

14:00 Konrad Kleinberg (BUW): Multilevel Monte Carlo methods and artificial neural networks for high-dimensional Markov decision processes

14:30 Phillip Yam (CUHK): Training Deep ResNet with batch normalization as a first-order mean field type problem

15:00 Ziyu Huang (CUHK): Second-order mean field games and their associated equations

15:30 - 15:45 Coffee Break (Discussion)

15:45 Junyou Li (CUHK): Cyber Risk: Modelling, estimation, and insurance pricing

16:15 Julia Ackermann (BUW): Multi-asset optimal trade execution in a stochastic Obizhaeva-Wang-type model

16:45 Petr Petrov (BUW): Multidimensional Riccati BSDEs with singular terminal condition and stochastic LQ control with terminal constraint

17:15 Conclusion (Workshop photos)