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 or participating to a project, please contact cemracs17@smai.emath.fr

List of projects
Coordinator(s) Title Description Affectation
- Laurent Mertz
- Jonathan Wylie
Stochastic Control of Variational Inequalities for Random Mechanics (SCARMEC) scarmec-description.pdf 1. Zhezua Li (NYU Shanghai)
2. 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
1. Alessandro Balata (University of Leeds)
2. Sahar Ben Aziza (ENIT, Tunis)
3. Aditya Maheshwari (University of California, Santa Barbara)
- Paul Besson (Chevreux-Kepler)
- Bruno Bouchard (University Paris Dauphine)
Optimal trading and order book dynamics OrderBook.pdf 1. Nicolas Baradel (University Paris-Dauphine and ENSAE-ParisTech)
2. Rui Chen (University Paris-Dauphine and Inria)
3. David Evangelista (King Abdullah University of Science and Technology)
- 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)
- Rene Aid (University Paris Dauphine, FiME lab)
- Jorge Zubelli (IMPA Rio)
Stochastic Impulse Games for Retail Energy Markets (SIGREM) sigrem-description.pdf 1. Francisco Bernal (FiME Lab)
2. Albasher Shareif Pedagogical (University of Krakow)
3. Diego Zabaljauregui (London School of Economics)
- Bruno Bouchard (University Paris-Dauphine, Ceremade) Local polynomial approximation of drivers and branching process based resolution of BSDE (LPBBSDE) LPBBSDE-description.pdf 1. Ahmed Sid-Ali (University of Laval, Canada)
2. Ki Wai Chau (Centrum Wiskunde and Informatica)
- 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. Uladzislau Stazhinsky (Ecole Polytechnique)
- Ankush Agarwal (Ecole Polytechnique)
- 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)
- Jean-Francois Chassagneux (Université Paris Diderot)
- François Delarue (Nice University)
- Mathieu Laurière

- Luis Briceno-Arias (U. Federico Santa Mara)
- Dante Kalise (RICAM)
- Mathieu Laurière (NYU Shanghai)
et Francisco Silva (U. de Limoges)
Mean Field Games (MFG) MFG-description.pdf
MFGnumerics-description.pdf
1. Andrea Angiuli (University of California, Santa Barbara)
2. Soukaina Douissi (University Cadi Ayyad)
3. Christy Graves (Princeton University)
4. Ziad Kobeissie (Universities Paris Dauphine and Paris Diderot)
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)
- Clémentine Prieur (Grenoble University)
- Véronique Maume-Deschamps (Lyon University)
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 1. Amine
2. Achref Bachouch (University of Oslo)
3. Chiheb Ben Hammouda (King Abdullah University of Science and Technology)
4. Shuren Tan (University of Edinburgh)
- Ludovic Goudenège (CNRS, Paris-Est University)
- Adam Larat (CNRS, Labo EM2C CentraleSupélec)
- Marc Massot (Ecole Polytechnique,Labo EM2C CentraleSupélec)
- Aymeric Vié (Labo EM2C CentraleSupélec)
Statistical and probabilistic modeling of cloud of particles strongly coupled with a turbulent fluid (StochasticTurbulence)  StochasticTurbulence-description.pdf 1. Atef Lechiheb (Université de Tunis El Manar)
2. Julie Llobell (Université de Nice)
3. David Mercier (Labo EM2C CentraleSupélec)
- Frédéric Lagoutière (University Lyon 1)
- Nicolas Vauchelet (University Paris 13)
- Thierry Goudon (Inria)
- François Delarue (University of Nice)
Aggregation equations aggregationequations.pdf 1. Hélène Hivert (UMPA ENS Lyon)
2. Kevin Le Balc'h (Ecole Normale Supérieure de Rennes)
3. Sofiane Martel (Ecole Nationale des Ponts et Chaussées)
4. Monika Twarogowska (Ecole Normale Supérieure de Lyon)
- J. Bonnefoy (AXA)
- J.-F. Chassagneux (Université Paris Diderot)
- C. Garcia Trillos (UCL)
Sensitivity analysis: A sparse grid approach projectsparta.pdf 1. Cyril Benezet (Université Paris Diderot)
2. Shuoqing Deng (University Paris-Dauphine)
3. Lionel Lenotre (Ecole Polytechnique)
- G. Pagès (UPMC, LPMA)
- V. Reutenauer (Fotonower)
Massive Media Indexing with Parallel Computing mediaindexing.pdf 1. Loutfi Ijlal (Univ. Oslo)
2. Laura Silva Lopes (Cermics)
3. Thibaut Montes (LPMA)
- M. Bossy (INRIA Sophia Antipolis)
- L. Szpruch (University of Edinburgh)
Long time simulations of stochastic interacting particle systems sisip.pdf 1. Houssam AlRachid (Univ. Orléans)
2. Cristiano Ricci (Univ. Pisa)
- J. Chevallier (Univ. Cergy-Pontoise)
- F. Delarue (Université de Nice, LJAD)
- E. Tanré (INRIA Sophia Antipolis)
Network of interacting neurons with random synaptic weights neuromkv.pdf 1. Cyrille Mascart (Univ. Nice)
2. Marta Leocata (Univ. Pisa)
3. Paolo Grazieschi (Univ. Pisa)
- M. Campos Pinto (UPMC)
- K. Kormann (Max-Planck-Institut für Plasma Physik)
- O. Mula (Paris-Dauphine)
Uncertainty quantification for the Vlasov equation (UQ-V) UQ-V.pdf 1. Joakim Bernier (ENS Rennes)
2. Pierre Gerhard (Univ. de Strasbourg)
3. Anna Yurova (Max Planck Institut für Plasma Physik)





Sponsors

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