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.

Participation Instruction:

To view all talk recordings, please visit: https://www.youtube.com/playlist?list=PLArBKNfJxuune0RdVfoVePrOZdPvHDA1q.

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
10:30 to 11:00	Coffee Break
11:00 to 11:30	An Optimal Stopping Problem for Variable Annuities Alessandro Milazzo, University of Torino
11:30 to 12:00	On an Optimal Stopping Problem with a Discontinuous Reward Anne MacKay, University of Sherbrooke
12:00 to 13:30	Lunch (On Your Own)
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, Technical University of Berlin
14:30 to 15:00	Coffee Break
15:00 to 15:30	Optimal Stopping of Diffusion Spiders Paavo Salminen, Åbo Akademi University
15:30 to 16:00	Optimal stopping of Gauss-Markov processes with random terminal value Abel Guada Azze, Cunef Universidad
16:00 to 17:30	Conference Reception

Tuesday, May 13th, 2025
09:30 to 10:00	Stopping Problems with an Unknown State Yuqiong Wang, University of Michigan, Ann Arbor
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 Markov Stopping Games Sören Christensen, University of Kiel
12:00 to 13:30	Lunch (On Your Own)
13:30 to 14:00	Constrained Dynkin Games and Convertible Bonds David Hobson, University of Warwick
14:00 to 14:30	Stopping Poisson Arrivals and Bernoulli Trials Alexander Gnedin, Queen Mary University
14:30 to 15:00	Coffee Break
15:00 to 15:30	Optimal Prediction of the End of Long-Term Financial Distress of Brownian Motion Models Jose M. Pedraza Ramirez, University of Manchester
15:30 to 16:00	Impulse Control Under Poisson Timing Constraints Luis Álvarez Esteban, University of Turku
18:00 to 20:00	Conference Dinner at Prenup Pub (191 College St, Toronto, ON M5T 1P9)

Wednesday, May 14th, 2025
09:30 to 10:00	The Dubins Spider 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 involving a diffusion and its running maximum: a generalisation of 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 (On Your Own)
13:30 to 14:00	Optimal capital structure with stochastic variable costs Yerkin Kitapbayev, Khalifa University
14:00 to 14:30	Non-linear optimal stopping problems: between the discrete and the continuous time Miryana Grigorova, University of Warwick
14:30 to 15:00	Coffee Break