SMAI CEMRACS 2017

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

July 17 - August 25, CIRM, Marseille
cirm
The summer school will take place during the first ten days, July 17-26. Thematic lectures will be given during the first week (July 17-23). They will focus on numerical methods for the analysis of stochastic models associated with stochastic control problems, uncertainty propagation analysis or mean-field type interaction phenomena. A HPC (high performance computing) training will be organized the second week (July 24-26), see below.


Monday 17 Tuesday 18 Wednesday 19 Thursday 20 Friday 21
9 am - 11 am Y. Achdou - Numerical methods for mean field games D. Crisan - Cubature methods X. Warin - Branching diffusions R. Tempone - Error propagation, an overview R. Tempone - Error propagation, an overview
11 am - 11.30 am Coffee break Coffee break Coffee break Coffee break Coffee break
11.30 am - 12.30 pm R. Carmona - Mean field games in economy and finance M. Bossy - Stochastic particle algorithms B. Jourdain - Probabilistic methods and particle systems V. Perchet - Games and bandits J. Charrier - Applications in hydrogeology
12.30 pm - 2 pm Lunch break Lunch break Lunch break Lunch break Lunch break
2 pm - 2.30 pm Posters Posters Posters Posters Posters
2.30 pm - 4.30 pm P. Imkeller - Introduction to BSDEs Y. Achdou - Numerical methods for mean field games G. Pagès - Quantization grids P. Turkedjiev - Regression based Monte-Carlo O. Le Maitre - Fluid mechanics
S. Marelli - Fiability
4.30 pm - 5 pm Coffee break Coffee break Coffee break Coffee break Coffee break
5 pm - 6 pm R. Aid - Optimal investment P. Degond - Collective dynamics and organization M. Bellemare - Control without model and deep learning J.-D. Benamou - Numerical methods for optimal transportation


High Performance Computing (July 24-26)
(Jérôme Lelong, Christophe Picard and Laurence Viry)
Monday 24 Tuesday 25 Wednesday 26
9:00 - 11:00 Practical session Practical session
14:00 - 16:00 Plenary lecture -
Introduction to HPC and random number generation
OpenMP
Plenary lecture -
MPI
Practical session



Sponsors

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