Seventh "Rencontres Mathématiques de Rouen"

Stochastic optimal control and applications

14-16 june 2004, University of Rouen, France


Page en français
Welcome page : Nonlinear partial differential equations and applications
Workshop ACI : Front propagation and partial differential equations

NEW :
Slides of some conferences

Presentation

The "Rencontres mathématiques de Rouen" are devoted to two important aspects of stochastic control, namely mathematical finance and singular perturbations.

Mathematical finance uses in a systematic manner optimal control (pricing and hedging of derivative assets, portfolio selection, modelling of the behaviour of economic agents, etc.).

Singular perturbation problems are essential in engineering and in mechanics. They are useful when one wants to reduce the dimension of a dynamical system by retaining the variables most relevant. They also arise in material science for the study of the macroscopic properties of composite materials (periodic or stochastic homogenization).

The RMR will emphasize on the interactions between the various mathematical approaches to theses problems (viscosity solutions, stochastic and deterministic systems, calculus of variations, statistics, etc.).


Registration

Participation is free. However, to facilitate the organization, the participants are required to register by returning the following form at the email address of the meeting.

Deadline for registration : Friday 4 june 2004

Registration form : text format

Meeting address : rmr2004@univ-rouen.fr


Invited speakers

The following researchers have been invited to give a talk.

Robert Almgren (Toronto, Canada); Mariko Arisawa (Tohoku, Japan); Martino Bardi (Padova, Italy); Guy Barles (Tours, France); Bruno Bouchard (Paris 6); Italo Capuzzo-Dolcetta (Roma); Nicole El Karoui (Ecole polytechnique); Albert Fathi (ENS Lyon, France); Diogo Gomes (Lisbon); Victor Konev (Tomsk, Russia); Ralf Korn (Kaiserslautern, Germany); Damien Lamberton (Marne-la-Vallée, France); Pierre-Louis Lions (Collège de France); Claudio Marchi (Padova, Italy); Huyen Pham (Paris 7); Marc Quincampoix (Brest, France); Takis Souganidis (Austin, Texas, USA); Agnès Sulem (INRIA, Paris); Michèle Thieullen (Paris 6); Agnès Tourin (MacMaster, Canada).


Program

The RMR will begin on Monday, 9h30, and will close on Wednesday, 12h00.

Full program to be downloaded (pdf format)

Suggested trains

Monday 14 June. Paris Saint-Lazare : 8h07 >> Rouen : 9h15
Wednesday 16 June. Rouen : 12h54 >> Paris : 14h01. Or, Rouen : 13h55 >> Paris : 15h03

For the complete schedules, SNCF


Practical informations


Participants

The participants to the colloquium are listed in the following page.

List of the participants


Organization

Scientific committee

P. Cardaliaguet, E. Rouy, D. Talay, N. Touzi

Organizing committee

O. Alvarez, D. Fourdrinier, G. Grancher, S. Pergamenchtchikov

Contact

RMR 2004
Lab. de Mathématiques R. Salem
Université de Rouen
76821 Mont-Saint-Aignan Cedex (FRANCE)

tél :02 35 14 71 00
fax : 02 32 10 37 94
mél : rmr2004@univ-rouen.fr


Update : 18 may 2004