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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Ergodic BSDEs and risk averse networks

Presented by Samuel Cohen, Oxford

3 February 2014 14:00 in CM221

When studying a financial network, one is often interested in the importance of a particular node. This can be measured in various ways, for example, by the ergodic probabilities of an associated Markov chain. We consider ergodic BSDEs based on countable state Markov chains, and use these to derive nonlinear, risk-averse versions of these probabilities and similar quantities. With this machinery, one can also consider various problems in ergodic stochastic control, and can incorporate model or statistical uncertainties into the assessment of the importance of different nodes and groups of nodes.

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