Probability, Uncertainty and Quantitative Risk

June 22 – 25, 2015. Shandong University, JI'NAN & WEIHAI, P.R.China

On the Conference

sdu07_06

Considering the recent and very dynamical development of the theory of backward stochastic differential equations which, thanks to its vast field of applications in stochastic control, games, finance, PDEs and SPDEs, has attracted many researchers, but which, on one hand, also has opened the development of other new research subjects such as the g- and G-expectations and path-dependent PDEs, and, on the other hand, has found new applications in finance and economics as, for instance, those related with problems of ambiguity, uncertainty, quantitative risk and recursive utility, we have begun the preparation of the launch of a journal, "Probability, Uncertainty and Quantitative Risk”, focussing on these topics.

The workshop in Weihai plays a central role in this preparation. It brings together colleagues from the different topics of the journal, having agreed to contribute to the success of the journal, and it represents a forum for scientific exchange but also for discussion concerning the work on the journal and, in particular, the preparation of the first issues of the journal.

The scientific part of the workshop consists of talks in the topics of the journal:

  • Ambiguity and Knightian Uncertainty
  • Backward stochastic differential equations, non linear expectation and path-dependent PDEs
  • Dynamic risk measures
  • Mathematical modelling under uncertainty
  • Quantitative risks
  • Recursive Utility
  • Uncertainty quantification
  • Computational aspects and numerical methods related with the above topics
  • Related topics, among them related statistics

As concerns the preparation of the launch of the journal, in particular that of its first issues, and the coordination of editorial work, in addition to informal discussions time slots for discussions will be foreseen in the programme. .

The workshop is organized by the School of Mathematics of Shandong University, Jinan and Weihai. The workshop will take place in Weihai Campus of Shandong University. The most of the participants will be accommodated in the “International Academic Center, Shandong University (Weihai)”, which is at the seaside.

http://www.unihotel.com.cn/weihai/ 

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