CEMRACS 2017
Numerical methods for stochastic models: control, uncertainty quantification, meanfield July 17  August 25, CIRM, Marseille 

Monday 17  Tuesday 18  Wednesday 19  Thursday 20  Friday 21 
9 am  11 am  Y. Achdou  Numerical methods for mean field games (slides)  D. Crisan  Cubature methods (slides)  X. Warin  Branching diffusions (slides)  R. Tempone  Multilevel and multiindex methods (slides)  R. Tempone Multilevel and multiindex methods (slides) 
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 with a major player (slides)  M. Bossy  Particle algorithm for McKean SDE (slides)  B. Jourdain  Metropolis Hastings algorithms (slides)  V. Perchet  Bandits and auctions (slides)  J. Charrier  Applications in hydrogeology (slides) 
12.30 pm  2 pm  Lunch break  Lunch break  Lunch break  Lunch break  Lunch break 
2 pm  2.30 pm  Free  Posters  Posters  Posters  Free 
2.30 pm  4.30 pm  P. Imkeller  Introduction to BSDEs (slides)  Y. Achdou  Numerical methods for mean field games (slides)  G. Pagès  Quantization grids (slides)  P. Turkedjiev  Regression based MonteCarlo (slides)  O. Le Maitre  Sensitivity analysis (slides) S. Marelli  Metamodels for uncertainty quantification (slides) 
4.30 pm  5 pm  Coffee break  Coffee break  Coffee break  Coffee break  Coffee break 
5 pm  6 pm  R. Aid  Capacity expansion games (slides)  P. Degond  Kinetic theory and game theory (slides)  M. Bellemare  Reinforcement learning (slides)  J.D. Benamou  Numerical methods for variational mean field games (slides)  
Poster sessions 
Tuesday 
Cecchin, Alekos: Probabilistic approach to finite state mean field games Graves, Christy: Synchronization of Circadian Rhythms: a Mean Field Game Model of Jet Lag Mycek, Paul: Multilevel Monte Carlo estimation of covariances in the context of openchannel flow simulations Viot, Louis: Model couplings in an integral code for nuclear reactor severe accidents 
Wednesday 
Chau, Ki Wai: Stochastic grid bundling method for backward stochastic differential equations Evangelista, David: On the existence of solutions for stationary meanfield games with congestion Aceves Sanchez, Pedro: Emergence of vascular networks Mounjid, Othmane: Optimal Trading Strategies With Adverse Selection Risk and the Role of Latency Silva Lopes, Laura: Adaptive Multilevel Splitting method: application to the alanine dipeptide’s isomerization 
Thursday 
Ben Aziza, Sahar: A numerical method for a class of Mean Field Games Llobell, Julie: A 2Dkinetic scheme on staggered grids for the Euler system Balata, Alessandro: Regress Later Monte Carlo for Optimal Control of Markov Chains Ciccone, Valentina: Factor analysis with finite data Dione, Déthié: Optimal performances of a global allocation of radio resources in heterogeneous networks system 
High Performance
Computing (July 2426) (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 