Fields-CFI Conference on Optimal Stopping and Its Applications in Finance and Insurance

May 12 - 14, 2025, The Fields Institute

Location: Fields Institute, Room 230

Description

Problems of optimal stopping are a fundamental tool in both the theory and application of mathematics to finance and insurance. Researchers in the field address these problems through techniques from probability, partial differential equations, analysis, numerical methods and machine learning. The aim of this conference is to bring together leading researchers from across the world on this important topic to discuss recent results, open problems, and directions in the field.

Please use this form to register and to sign up for a scheduled dinner that will be taking place on Tuesday May 13, 2025 at the Prenup Pub.

Schedule

Monday, May 12th, 2025
09:15 to 09:30	Introduction and Opening Remarks
09:30 to 10:00	Learning, Optimal Stopping, and the Odds Algorithm F. Thomas Bruss, Université Libre de Bruxelles
10:00 to 10:30	Learning to Optimally Stop Diffusion Processes Xunyu Zhou, Columbia University
10:20 to 10:50	Coffee Break
11:00 to 11:30	Dynkin Games for Lévy Processes Ernesto Mordecki, Universidad de la República, Uruguay
11:30 to 12:00	Strategic Randomization: Equilibria in Markov Stopping Games Sören Christensen, Kiel University
12:00 to 13:30	Lunch
13:30 to 14:00	The Optimal Mean-Variance Selling Problem with Finite Horizon Goran Peskir, University of Manchester
14:00 to 14:30	Optimal Execution and Speculation with Trade Signals Peter Bank, Technische Universität Berlin
14:30 to 15:00	Coffee Break
15:00 to 15:30	An Optimal Stopping Problem for Variable Annuities Alessandro Milazzo, Università di Torino
15:30 to 16:00	On an Optimal Stopping Problem with a Discontinuous Reward Anne MacKay

Tuesday, May 13th, 2025
09:30 to 10:00	Stopping Problems with an Unknown State Yuqiong Wang, University of Michigan
10:00 to 10:30	A Measure-Valued HJB Perspective on Bayesian Optimal Adaptive Control Alexander Cox, University of Bath
10:30 to 11:00	Coffee Break
11:00 to 11:30	Dynkin Games for Lévy Processes Ernesto Mordecki, Universidad de la República
11:30 to 12:00	Strategic Randomization: Equilibria in Markovian Stopping Games Sören Christensen, University of Kiel
12:00 to 13:30	Lunch
13:30 to 14:00	Title TBA David Hobson, University of Warwick
14:00 to 14:30	Title TBA Mathias Beiglböck, University of Vienna
14:30 to 15:00	Coffee Break
15:30 to 16:00	Title TBA Nizar Touzi, New York University
15:30 to 16:00	Title TBA Luis Álvarez Esteban, University of Turku

Wednesday, May 14th, 2025
09:30 to 10:00	Title TBA Philip Ernst, Imperial College London
10:00 to 10:30	On the Continuity of Optimal Stopping Surfaces Tiziano De Angelis, University of Turin & Collegio Carlo Alberto
10:30 to 11:00	Coffee Break
11:00 to 11:30	Optimal Stopping with a gBm and its Running Maximum: A Remark on the Maximality Principle Mihail Zervos, London School of Economics
11:30 to 12:00	Perpetual American Standard and Lookback Options in Models with Progressively Enlarged Filtrations Pavel Gapeev, London School of Economics
12:00 to 13:30	Lunch
13:30 to 14:00	Title TBA Kristoffer Glover, University of Technology Sydney
14:00 to 14:30	Title TBA Alexander Gnedin, Queen Mary University
14:30 to 15:00	Coffee Break
15:00 to 15:30	Title TBA Yerkin Kitapbayev, Khalifa University
15:30 to 16:00	Title TBA Miryana Grigorova, University of Warwick