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Goncalo dos Reis, University of Edinburgh
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William Salkeld, University of Edinburgh
About:
This meeting gathered local and external experts in stochastic analysis and their applications for an afternoon of scientific discussion on some recent trends in the field. The organizers would like to acknowledge the generous support of the Glasgow Mathematical Journal Trust Learning and Research Support Fund.
Programme:
| Anthony Réveillac, INSA de Toulouse | On a stochastic Hardy-Littlewood-Sobolev inequality with application to Strichartz estimates for a noisy dispersion |
| William Salkeld, University of Edinburgh | Malliavin differentiability of SDEs with drifts of superlinear growth |
| Bekzhan Kerimkulov, University of Edinburgh | Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions |
| Mario Maurelli, University of York | McKean-Vlasov SDEs with irregular drift: large deviations for particle approximation. |
| Ankush Agarwal, University of Glasgow | Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements. |
| Goncalo dos Reis, University of Edinburgh | Importance sampling for McKean-Vlasov SDEs |