Workshop on Stochastic Processes, Stochastic Optimal Control, and their Applications

(on the occasion of the 60th birthday of Marco Fuhrman)

26 - 27 September 2024

The purpose of the workshop is to bring together and create interactions among mathematicians working in the fields of stochastic analysis and stochastic optimal control.

The workshop starts on Thursday 26/09 at 15:00 and ends on Friday 27/09 at 12:40.

It will take place at Politecnico di Milano, Department of Mathematics (Leonardo Campus, Bulding 14, Aula Consiglio - 7th floor).

Registration is closed (deadline 20th September 2024).

Invited speakers

Marco Campi (Università degli Studi di Brescia)

François Delarue (Université Côte d'Azur)

Fausto Gozzi (LUISS University)

Ying Hu (Université de Rennes)

Jean Jacod (Université Paris VI)

Federica Masiero (Università degli Studi di Milano-Bicocca)

Huyên Pham (Ecole Polytechnique)

Gianmario Tessitore (Università degli Studi di Milano-Bicocca)

Scientific and organizing committee

Program

Detailed program available HERE.

Thursday, September 26th

15:00 - 15:30: Registration and coffee.

15:30 - 15:40: Opening.

Chair: Luciano Campi

15:40 - 16:25: Jean Jacod (Université Paris VI)

Title: High Frequency Returns Sign-Based Robust Inference.

16:25 - 17:10: Huyên Pham (Ecole Polytechnique)

Title: An optimal interpolation diffusion approach to generative modeling of time series.

17:10 - 17:30: Coffee break.

17:30 - 18:15: Federica Masiero (Università degli Studi di Milano-Bicocca)

Title: Stochastic control problems with delay: solution through partial smoothing. (Slides)

18:15 - 19:00: Marco Campi (Università degli Studi di Brescia)

Title: Probability, Agnosticism, and Guarantees in Inductive Learning Processes. (Slides)

Friday, September 27th

Chair: Elena Bandini

09:00 - 09:45: François Delarue (Université Côte d'Azur)

Title: Mean Field Control Approach to Stable Solutions of Deep ResNets.

09:45 - 10:30: Ying Hu (Université de Rennes)

Title: Dual Representation of Unbounded Dynamic Concave Utilities. (Slides)

10:30 - 11:00: Coffee break.

11:00 - 11:45: Gianmario Tessitore (Università degli Studi di Milano-Bicocca)

Title: Nonlinear random perturbations of PDEs depending on a small parameter. (Slides)

11:45 - 12:30: Fausto Gozzi (LUISS University)

Title: Optimal Control and Differential Games for Pollution Management and Climate Agreements.

12:30 - 12:40: Closing.

Participants

List of participants.

Registration is closed.

Registration Form

deadline 20-09-2024

General information

Venue

The workshop takes place at the Department of Mathematics of Politecnico di Milano (Building 14, Leonardo Campus).

Address: via Bonardi n. 9, 20133 Milano (ITALY).

Room: Aula Consiglio - 7th floor.

General travel information

Politecnico di Milano (Leonardo Campus) is situated in the Città Studi neighborhood. The nearest underground station is PIOLA M2. Other nearby stations are LORETO M1M2 (~15 min. by walk) and LAMBRATE M2 (~10 min. by walk).

The campus che be reached also by tram (23 and 33) and by bus (e.g. 93 and 91).

Reaching Milan

Milan is easily reached by plane, train or private car.
Three main airports serve the city: Milano Linate, Milano Malpensa and Milano Orio al Serio; all three airports are connected to major city's railway stations through regular coach and/or train services.

There are several railway stations in the city center, all connected to the underground network; the main ones are Cadorna Station and Centrale Station, where most national and international trains, and coach/train services from the airports terminate. Lambrate is the nearest one to Leonardo Campus.

Accommodation

Here some popular hotels near Politecnico di Milano:

Contacts

The organizers can be contacted at: spoca-dmat@polimi.it