SMAI CEMRACS 2017

Numerical methods for stochastic models: control, uncertainty quantification, mean-field

July 17 - August 25, CIRM, Marseille
cirm
After the one week summer school on numerical methods for stochastic problems, phd students will work by group of two to four on numerical projects.
Numerical projects can be proposed by research departments or industrials that want to explore a new numerical method. Phd students will work on them during 5 weeks, under the supervision of Professor specialized in numerics and IT. Research departments or industrials can either propose their own Phd students, or be proposed students by the organizers. In any case, PhD students working in a project will have to cover their housing and meal costs, at the CIRM research center.
If you are interested in submitting a project, please contact cemracs17@smai.emath.fr

The list of projetcs is updated quite often, please check frequently.

List of projects
Coordinator(s) Title Description Affectation
- Laurent Mertz
- Mathieu Laurière
- Jonathan Wylie
Stochastic Control of Variational Inequalities for Random Mechanics (SCARMEC) scarmec-description.pdf 1- Mac Huang (Courant Institute)
2- Mathieu Laurière (NYU Shanghai)
3- Siyao Zuo  (NYU Shanghai)
- Clémence Alasseur (EDF R&D)
- Peter Tankov (ENSAE)
- Xavier Warin (EDF R&D)
Design and management of a smart grid under uncertainties (MicroGrid) MicroGrid-description.pdf
Un-affected (you can apply)
- Paul Besson (Chevreux-Kepler)
- Bruno Bouchard (University Paris Dauphine)
Optimal trading and order book dynamics OrderBook.pdf Un-affected (you can apply)
- Huyen Pham (University Paris Diderot, ANR CAESARS)  Stochastic optimal control of McKean-Vlasov systems (SOCMKV) sockmv-description.pdf 1- Côme Huré (Univ. Paris Diderot)
2- Isaque Pimentel (EDF and Ecole Polytechnique)
3- You can still apply
- Rene Aid (University Paris Dauphine, FiME lab) Stochastic Impulse Games for Retail Energy Markets (SIGREM) sigrem-description.pdf Un-affected (you can apply)
- Bruno Bouchard (University Paris-Dauphine, Ceremade) Local polynomial approximation of drivers and branching process based resolution of BSDE (LPBBSDE) LPBBSDE-description.pdf Un-affected (you can apply)
- Stéphane Crépey (Evry University)
- Gersende Fort (CNRS-IMT)
- Emmanuel Gobet (Ecole Polytechnique)
Nested extreme risks and model uncertainty (NestedRisk) NestedRisk-description.pdf 1- David Barrera (Ecole Polytechnique)
2- Babacar Diallo (CACIB and Evry University)
3- Uladizslau Stazhinsky (Ecole Polytechnique)
- you can still apply
- Stefano De Marco (Ecole Polytechnique)
- Emmanuel Gobet (Ecole Polytechnique)
Non Linear Valuation accounting for Initial and Variation Margins (IniVarMargin) IniVarMargin-description.pdf 1- Fanny Noubiagain (Le Mans University)
2- Jose Salas (La Corona University)
3- Alexandre Zhou (ENPC)
- Pierre Cardaliaguet (Dauphine University)
- François Delarue (Nice University)
Mean Field Games (MFG) MFG-description.pdf 1 - Andrea Angiuli (University of California, Santa Barbara)
2 - Cyril Benezet (Université Paris Diderot)
3 - Soukaina Douissi (University Cadi Ayyad)
4 - Christy Graves (Princeton University)
5 - Houzhi LI (LPMA, Université Paris Diderot)
6 - Álvaro Mateos González (ENS de Lyon and Inria Rhône-Alpes)
- Bertrand Iooss (EDF R&D Chatou)
- Roman Sueur (EDF R&D Chatou)
Development and estimation of Shapley effects for sensitivity analysis of model outputs shapleySAMO-description.pdf 1- Nazih Benoumechiara (UPMC and EDF R&D)
2- Kevin Elie-Dit-Cosaque (UCB Lyon 1)
- Denis Belomestny (Duisburg-Essen University)
- John Schoenmakers (Weierstrass Institute for Applied Analysis and Stochastics)
Simulation based optimal control via deep learning (ControlDeep) controlDeep-description.pdf Un-affected (you can apply)
- Ludovic Goudenège (CNRS, Paris-Est University)
- Marc Massot (Ecole Polytechnique,Labo EM2C CentraleSupélec)
Statistical and probabilistic modeling of cloud of particles strongly coupled with a turbulent fluid (StochasticTurbulence)  StochasticTurbulence-description.pdf 1 - Adam Larat (CNRS, Labo EM2C CentraleSupélec)
2 - David Mercier (Labo EM2C CentraleSupélec)
3- Aymeric Vié (Labo EM2C CentraleSupélec)
- Frédéric Lagoutière (University Lyon 1) Aggregation of stochastic equations Available soon Un-affected (you can apply)

Other projects coming soon (check often)






Sponsors

ANR CEREMADE CMAP Laboratoire JA Dieudonné Laboratoire Jean Kuntzmann Laboratoire de Probabilités et Modèlles Aléatoires Institut Louis Bachelier