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)
Plenary lectures Laurence Viry 3h
Practical training Jérôme Lelong, Christophe Picard, Laurence Viry 6h



Sponsors

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