AMS Sectional Conference

Special Session

Risk-averse optimization

Stevens Institute of Technology

Burchard 430

Saturday, April 14

9:30 --10:00 Savas Dayanik, Christian L Goulding, H Vincent Poor

Bayesian sequential detection and isolation of an unobservable sudden change

10:00 – 10:30 Darinka Dentcheva, Rene Henrion, Andrzej Ruszczyński

Stability and sensitivity of optimization problems with stochastic ordering constraints

10:30 – 11:00 Andrzej Ruszczyński, Darinka Dentcheva

Stochastic dynamic optimization with multivariate stochastic dominance constraints

2:30 -- 3:00 Patrick Cheridito, Tianhui Li

Monetary Risk Measures on Maximal Subspaces of Orlicz Classes

3:00 – 3:30 Ingrid Mona Zamfirescu, Ioannis Karatzas

Martingale Approach to Stochastic Differential Games of control and stopping

3:30 – 4:00 Elena Kosygina, Srinivasa R. S. Varadhan

Homogenization of Hamilton-Belman-Jacobi equations with respect to time-space shift in a stationary ergodic random medium

4:00-- 4:30 Antoine Toussaint

Hedging under L2 convex risk measures

4:30-- 5:00 Tim Siutang Leung, Ronnie Sircar

Accounting for Risk Aversion and Other Idiosyncrasies in the Valuation of Employee Stock Options

5:00-- 5:30 Ionut Florescu

Coefficients estimation for diffusion equations with hidden factor

Sunday, April 15

9:00 – 9:30 Michael Zabarankin, Ilona Murynets, Jeffery Nickerson

Optimal security inspection with a single-server queue

9:30 – 10:00 Sergiy Gorovyy, Anton Molyboha, Michael Zabarankin

Markov chain approach to optimal sensor coverage

10:00 – 10:30 Anton Molyboha, Bogdan Grechuk, Michael Zabarankin

Quantile-based deviation measures

10:30 -- 11:00 Bogdan Grechuk, Anton Molyboha, Michael Zabarankin

Mean-deviation analysis

Presenter’s name is listed first.