Optimal control and fractional dynamics

Workshop theme

This workshop aims to further the interaction between the theory of optimal control and fractional stochastic dynamics. The ultimate goal is to develop a theory of optimal stochastic control for general semi-martingales and devise effective algorithms for solving specific applied problems where such structures arise. Speakers and participants will include economists and engineers as well as pure and applied mathematicians.

Speakers list:

Vassili Kolokoltsov (University of Warwick)
Elena Hernandez-Hernandez (Imperial College London)
Luisa Beghin (University of Rome La Sapienza)
Yuliya Mishura (Taras Shevchenko National University of Kyiv)
Remi Leandre (Université de Franche-Comté)
Giulia Di Nunno (Matematisk Institutt, Oslo)
Antonio Visioli (Università degli Studi di Brescia)
Tatiana Odzijewicz (SGH Warsaw School of Economics)
Anna Jaskiewicz (Wroclaw University of Technology)
Nizar Touzi (Ecole Polytechnique Paris)
Huyen Pham (Université de Paris)
Mikhail Zervos (London School of Economics)
Andreas Kyprianou (University of Bath)
Geronimo Uribe-Bravo (Universidad Nacional Autonoma de Mexico (UNAM))
Feng Lin (University of Warwick)
Jorge Gonzales-Cazares (University of Warwick)
Ahmadova Arzu (Eastern Mediterranean University)
David Bang (University of Warwick)
Dorota Mozyrska (Bialystok University of Technology)

Applications for this workshop are now closed

Fees

Registration Only

Registration Package: £179
Student Registration Package: £139

The Registration Package includes admission to all seminars, lunches and refreshments on the days that lectures take place (Tuesday - Friday), wine reception and formal dinner, but does not include other meals or accommodation.

Formal Dinner Only

Formal Dinner: £55

Participants on the Accommodation Package or Registration Package, including organisers and speakers, are automatically included in this event. For all remaining participants who would like to attend, such as programme participants, the above charge will apply.

Accommodation

Unfortunately we do not have any accommodation to offer so all successful applicants will need to source their own accommodation.

Please see the Hotels Combined website for a list of local hotels and guesthouses. Meals

Meals

Lunch Lunch timings and location will be confirmed with timetable.

Evening Meal Participants are free to make their own arrangements for dinner.

Formal Dinner The Formal Dinner location and date is to be confirmed.

Participants on the Accommodation Package or Registration Package, including organisers and speakers, are automatically included in this event.

Photo Gallery

Timetable

Tuesday 19th April 2022
09:15 to 09:55	Registration	Room 1
09:55 to 10:00	Welcome Talk	Room 1
10:00 to 11:00	Nizar Touzi Ecole Polytechnique Paris Chair: Aleksandar Mijatovic, Moderator: Jorge Gonzalez-Cazares Mean Field Game of Mutual Holding and systemic risk	Room 1
11:30 to 12:15	Yuliya Mishura Taras Shevchenko National University of Kyiv Chair: Aleksandar Mijatovic, Moderator: Jorge Gonzalez-Cazares Standard and fractional reflected OU processes in connection to square roots of CIR processes	Room 1
13:30 to 14:30	Geronimo Uribe-Bravo Universidad Nacional Autonoma de Mexico (UNAM) Chair: Saul Jacka, Moderator: Jorge Gonzalez-Cazares Invariance principles for local times in regenerative settings.	Room 1
14:30 to 15:00	Remi Leandre Université de Franche-Comté Chair: Saul Jacka, Moderator: Jorge Gonzalez-Cazares Toward a Wong-Zakai approximation for big order generators.	Room 1
15:00 to 15:30	Feng Lin University of Warwick Chair: Saul Jacka, Moderator: Jorge Gonzalez-Cazares Monte Carlo Estimation of the Solution of Fractional Partial Differential Equations	Room 1

Wednesday 20th April 2022
09:00 to 10:00	Huyen Pham Ecole Polytechnique Paris Chair: Giulia Di Nunno, Moderator: Igor Podlubny Mean-field Markov Decision process with common noise and randomized controls: convergence rate and applications to targeted advertising	Room 1
10:00 to 11:00	Mihail Zervos King's College London Chair: Giulia Di Nunno, Moderator: Igor Podlubny Impulse Control of a Linear Diffusion: an Explicitly Solvable Problem	Room 1
11:30 to 12:15	Nacira Agram KTH Stockholm Chair: Giulia Di Nunno, Moderator: Igor Podlubny Solving mean-field stochastic control problems by using deep learning	Room 1

Thursday 21st April 2022
09:00 to 09:30	Arzu Ahmadova Eastern Mediterranean University Chair: Vassili Kolokoltsov, Moderator: Astrid Hilbert Discrete time mean-field stochastic optimal control problems	Room 1
09:30 to 10:00	David Bang University of Warwick Chair: Vassili Kolokoltsov, Moderator: Astrid Hilbert Asymptotic shape of the concave majorant of a Lévy process	Room 1
10:00 to 11:00	Tatiana Odzijewicz SGH Warsaw School of Economics Chair: Vassili Kolokoltsov, Moderator: Astrid Hilbert Optimal leader-following consensus of fractional opinion formation models	Room 1
11:30 to 12:15	Luisa Beghin University of Rome La Sapienza Chair: Vassili Kolokoltsov, Moderator: Astrid Hilbert Renewal processes related to general fractional operators	Room 1
13:30 to 14:30	Vassili Kolokoltsov University of Warwick Chair: Anna Jaskiewicz, Moderator: Astrid Hilbert Fractional forward-backward systems of Banach-space valued HJB and McKean-Vlasov equations arising in fractional mean-field games	Room 1
14:30 to 15:00	Dorota Mozyrska Bialystok University of Technology Chair: Anna Jaskiewicz, Moderator: Astrid Hilbert Fractional-variable-order digital controller design and tuning for automatic voltage regulator system	Room 1
15:00 to 15:30	Jorge Gonzalez-Cazares University of Warwick; The Alan Turing Institute Chair: Anna Jaskiewicz, Moderator: Astrid Hilbert Convex minorants and the fluctuation theory of Lévy processes	Room 1

Friday 22nd April 2022
09:00 to 10:00	Anna Jaskiewicz Wroclaw University of Technology Chair: Antonio Visioli, Moderator: David Bang Constrained discounted stochastic games	Room 1
10:00 to 11:00	Andreas Kyprianou University of Bath Chair: Antonio Visioli, Moderator: David Bang Attraction to and repulsion from patches on the hypersphere and hyperplane for isotropic d-dimensional α-stable processes with index in α ∈ (0, 1] and d ≥ 2	Room 1
11:30 to 12:15	Francesco Mainardi University of Bologna Chair: Antonio Visioli, Moderator: David Bang Ultra-slow Relaxation inducedby Hadamard Fractional Calculus	Room 1
13:30 to 14:30	Antonio Visioli Università degli Studi di Brescia Chair: Andreas Kyprianou, Moderator: David Bang Fractional-order PID Control	Room 1
14:30 to 15:30	Giulia Di Nunno Matematisk Institutt, Oslo; NHH Norwegian School of Economics Chair: Andreas Kyprianou, Moderator: David Bang Volterra stochastic games with time change	Room 1

Organisers

Saul Jacka University of Warwick
Vassili Kolokoltsov University of Warwick
Aleksandar Mijatovic University of Warwick

Speakers

Nacira Agram KTH Stockholm
Arzu Ahmadova Eastern Mediterranean University
David Bang University of Warwick
Luisa Beghin University of Rome La Sapienza
Giulia Di Nunno Matematisk Institutt, Oslo; NHH Norwegian School of Economics
Jorge Gonzalez-Cazares University of Warwick; The Alan Turing Institute
Anna Jaskiewicz Wroclaw University of Technology
Vassili Kolokoltsov University of Warwick
Andreas Kyprianou University of Bath
Remi Leandre Université de Franche-Comté
Feng Lin University of Warwick
Francesco Mainardi University of Bologna
Yuliya Mishura Taras Shevchenko National University of Kyiv
Dorota Mozyrska Bialystok University of Technology
Tatiana Odzijewicz SGH Warsaw School of Economics
Huyen Pham Ecole Polytechnique Paris
Nizar Touzi Ecole Polytechnique Paris
Geronimo Uribe-Bravo Universidad Nacional Autonoma de Mexico (UNAM)
Antonio Visioli Università degli Studi di Brescia
Mihail Zervos King's College London

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Participants

Nacira Agram KTH Stockholm
Arzu Ahmadova Eastern Mediterranean University
Samuel Asante Gyamerah Kwame Nkrumah University of Science and Technology (KNUST)
Sigurd Assing University of Warwick
David Bang University of Warwick
Erhan Bayraktar University of Michigan
Luisa Beghin University of Rome La Sapienza
Elena Boguslavskaya Brunel University
Miha Bresar University of Warwick
Zdzislaw Brzezniak University of York
Jose A Carrillo University of Oxford
Dan Crisan Imperial College London
Lorenzo Cristofaro University of Rome La Sapienza
Giulia Di Nunno Matematisk Institutt, Oslo; NHH Norwegian School of Economics
Qiang Du Columbia University
Jinqiao Duan Illinois Institute of Technology
Hafiz Muhammad Fahad Eastern Mediterranean University
Sergei Fedotov University of Manchester
Arran Fernandez Eastern Mediterranean University
Neville Ford University of Chester
Sekhar Ghosh National Institute of Technology Rourkela
Ewa Girejko Bialystok University of Technology
Mikhail Gomoyunov  N.N. Krasovskii Institute of Mathematics and Mechanics of the Ural Branch of the Russian Academy of Sciences (IMM UB RAS)
Jorge Gonzalez-Cazares University of Warwick; The Alan Turing Institute
Patricia Gonçalves Instituto Superior Técnico, Lisboa
Elena Hernández-Hernández Imperial College London
Astrid Hilbert Linnaeus University
Max Hongler EPFL - Ecole Polytechnique Fédérale de Lausanne
Atsuhide Ishida Tokyo University of Science
Saul Jacka University of Warwick
Anna Jaskiewicz Wroclaw University of Technology
Sergey Kabanikhin Novosibirsk State University; Sobolev Institute of Mathematics
Vassili Kolokoltsov University of Warwick
Andreas Kyprianou University of Bath
Remi Leandre Université de Franche-Comté
Nikolai Leonenko Cardiff University
Feng Lin University of Warwick
Wei Liu Jiangsu Normal University
Eugene Lytvynov Swansea University
Jozsef Lörinczi Alfréd Rényi Institute of Mathematics,Hungarian Academy of Sciences
Francesco Mainardi University of Bologna
Agnieszka Malinowska Bialystok University of Technology
Stéphane Menozzi Université Paris Saclay; Higher School of Economics, Moscow
Aleksandar Mijatovic University of Warwick
Yuliya Mishura Taras Shevchenko National University of Kyiv
Stanislav Molchanov University of North Carolina
Dorota Mozyrska Bialystok University of Technology
Eulalia Nualart Universitat Pompeu Fabra
Tatiana Odzijewicz SGH Warsaw School of Economics
Maria Joao Oliveira University of Lisbon
Huyen Pham Ecole Polytechnique Paris
Andrey Piatnitski Universitetet i Tromsø; Kharkevich Institute for Information Transmission Problems of the Russian Academy of Sciences
Gabriela Planas Universidade Estadual de Campinas
Igor Podlubny Technical University of Kosice
Pavan Pranjivan Mehta Brown University
Ben Prykhodko University of Warwick
Michael Roeckner Universität Bielefeld
Maria Dolores Ruiz-Medina Universidad de Granada
Laura Sacerdote University of Torino
Abner Salgado University of Tennessee
Fatih Say Ordu University
Enrico Scalas University of Sussex
Andre Schenke Bielefeld University
Diana Stan Universidad de Cantabria
Qing Tang None / Other
Delfim F. M. Torres Universidade de Aveiro
Nizar Touzi Ecole Polytechnique Paris
Marianna Troeva North-Eastern Federal University
Geronimo Uribe-Bravo Universidad Nacional Autonoma de Mexico (UNAM)
Antonio Visioli Università degli Studi di Brescia
Vanja Wagner University of Zagreb
Jiang-Lun Wu Swansea University
Xiaochuan Yang Brunel University
Ivan Zelich Columbia University
Mihail Zervos King's College London
Elena Zhizhina Kharkevich Institute for Information Transmission Problems of the Russian Academy of Sciences