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Mar
22

Filtering for Discrete Markov Chains

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Ziteng Cheng Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology Description The filtering theory regards estimating an unobservable...

Mar
1

A Dynamic Model of Central Counterparty Risk

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Shibi Feng Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology www.iit.edu/applied-math/about/phd-students Description We introduce a...

Feb
22

Parameter Estimation for Discretely Sampled SPDEs

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Yicong Huang Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology www.iit.edu/applied-math/about/phd-students Description We consider a...

Feb
8

Statistical Inference for Stochastic PDEs: An Overview (Part II)

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Igor Cialenco Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology http://www.math.iit.edu/~igor/ Description Over the course of two or...

Feb
1

Statistical Inference for Stochastic PDEs: An Overview (Part I)

to Perlstein Hall, Room 108

Host Department of Applied Mathematics Speaker Igor Cialenco Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology http://www.math.iit.edu/~igor/ Description Over the course of two or...

Oct
31

Arbitrage-Free Pricing in Nonlinear Market Models

to Rettaliata Engineering Center, Room 032

Host Department of Applied Mathematics Speaker Igor Cialenco Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology http://www.math.iit.edu/~igor/ Description We proposed a nonlinear...

Oct
24

AIC: Towards More Robust Model Selection in Ridge Regression

to Rettaliata Engineering Center, Room 032

Host Department of Applied Mathematics Speaker Matthew Dixon Stuart School of Business, Ï㽶´«Ã½ Institute of Technology Description The problem of estimating the dimensionality of a model occurs in...