Conferences on Recent Developments in Backward Stochastic Differential Equations and Mathematical Finance

University Of Southern California, Los Angeles CA

Investigators

Abstract

This award provides support for the 4th Western Conference in Financial Mathematics (WCFM) and the 6th International Symposium on Backward Stochastic Differential Equations (ICBSDE), held back-to-back on June 6-10, 2011 in the vicinity of the University of Southern California campus. The main objectives are to bring together researchers in the areas of financial mathematics, insurance, and statistics from the Western U.S. and international researchers in the field of BSDEs and Stochastic Analysis, among them many are experts in Mathematical Finance and Stochastic Control Theory. The WCMF conference follows a sequence started at Stanford in 2007, followed by Austin in 2008 and UC Santa Barbara in 2009. The ICBSDE Symposium commenced in 1996 at the University of Paris VI, taking place every 3 years alternately in France and China. This is the first time it will be held in the United States. The two conferences will provide platforms for applied mathematicians, probabilists, and statisticians to present their recent work and initiate new projects. It is also expected to foster fruitful exchanges of ideas and to encourage new interactions between the Financial Mathematics and the BSDE communities, since the two fields have had significant overlaps in recent years. The proposers have made notable contributions in backward stochastic differential equations and their applications in finance, and the USC Mathematical Finance Colloquium has recently hosted many prominent researchers in both BSDEs and financial mathematics. It is expected that the two conferences will involve about a hundred researchers and graduate students. It is planned to include a significant number of participants in the early stages of their careers. Special effort will be made to give visibility to women and members of minority groups as invited speakers. All papers presented at the conferences will be disseminated via a website and made available to a wide international community. The conferences will also expose advanced undergraduates and beginning graduate students to cutting-edge research and encourage them to undertake further studies in the fields of Math Finance and BSDEs. Conference web site: http://www-bcf.usc.edu/~njamison/conference/main2.html