Keynote speakers

  1. Nicole Bäuerle: Optimal dividend–payout in random discrete time (abstract, video)
  2. Erhan Bayraktar: Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games (abstract, video)
  3. Christian Bender: Pricing of swing options in continuous time (abstract, video)
  4. Alain Bensoussan: Stochastic differential games with mean field effect (abstract, video)
  5. Umut Cetin: Liquidity, equilibrium and asymmetric information (abstract, video)
  6. Robert C. Dalang: Stochastic optimization of sailing trajectories in an upwind regatta (abstract, video)
  7. Eugene A. Feinberg: Average-cost Markov decision processes with weakly continuous (abstract, video)
  8. Arkady Kryazhimskiy: Equilibrium stochastic behaviors in repeated games (abstract, video)
  9. Hans Rudolf Lerche: From sequential analysis to optimal stopping – revisited (abstract, video)
  10. Bernt Øksendal: Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection (abstract, video)
  11. Huyên Pham: Backward SDEs with partially nonpositive jumps and Hamilton-Jacobi-Bellman IPDEs (abstract, video)
  12. Chris Rogers: Extremal martingales. Stochastic optimization and optimal stopping (abstract, video)
  13. John Schoenmakers: Multilevel primal and dual approaches for pricing American options (abstract, video)
  14. Peter Tankov: Asymptotically optimal discretization of hedging strategies with jumps (abstract, video)
  15. Alex G. Tartakovsky: Sequential hypothesis testing and disorder detection: past and future (abstract, video)
  16. Mikhail Urusov: Optimal trade execution and price manipulation in order books with time-varying liquidity (abstract, video)
  17. Xunyu Zhou: Arrow-Debreu equilibria for rank-dependent utilities (abstract, video)

Contributed speakers

  1. Svetlana Anulova: Mechanical systems with specular reflection under the wiener perturbations (abstract)
  2. Vadim Arkin, Alexander Slastnikov: Threshold strategies in optimal stopping and free-boundary problems (abstract)
  3. Petre Babilua, Besarion Dochviri: On estimate for variational inequality associated to optimal stopping (abstract)
  4. Erik Baurdoux: Predicting the ultimate maximum of a Levy process (abstract)
  5. Abel Cadenillas: Optimal production when demand depends on the business cycle (abstract)
  6. Sören Christensen: Optimal stopping of Markov processes using integral- and maximum-representations of excessive functions (abstract)
  7. Manuel Guerra: Optimal investment with random innovations (abstract, video)
  8. Alexander Guschin: On a structure of a minimax test in testing composite hypotheses (abstract, video)
  9. Anna Ivashko, Vladimir Mazalov: Net gain problem with two stops for an urn scheme (abstract)
  10. Alexey Muravlev: On a two-side disorder problem for a Brownian motion in a Bayesian setting (abstract)
  11. Farit Nasyrov: Symmetric integrals and stochastic analysis (abstract)
  12. Petr Novikov: Locally most powerful group-sequential tests when the groups are formed randomly (abstract)
  13. Ernst Presman, Vadim Iourinski: Otimal stopping of geometric Brownian motion with partial reflection (abstract)
  14. Simone Scotti: An optimal dividend and investment control problem under debt constraints (abstract)
  15. Laura Vinckenbosch: Stochastic control and free boundary problem for sailboat trajectory optimization (abstract)
  16. Mikhail Zhitlukhin: A general Bayesian disorder problem for a Brownian motion on a finite interval (abstract)


  1. Vyatcheslav Bykov: Efficient hedging of options with robust convex loss functionals (abstract)
  2. Mikhail Ivanov: Expected utility maximization in exponential Levy models (abstract)
  3. Ruslan Khasanov: On superhedging prices of contingent claims (abstract)
  4. Yaroslav Lyulko: Sharp inequalities for maximum of skew Brownian motion (abstract)
  5. Elvira Perekhodtseva: The numerical short-term forecast of the severe squalls and tornadoes over the territory of Russia on the base of the hydrodynamic-statistical models optimization (abstract)
  6. Alena Puchkova: Binary encoding in data series and early warning signals on financial crises (abstract)