Joint Mathematics Meetings AMS Special Session

Current as of Saturday, January 25, 2020 03:30:05

Joint Mathematics Meetings

• Colorado Convention Center, Denver, CO
• January 15-18, 2020 (Wednesday - Saturday)
• Meeting #1154

Associate secretaries:

Michel L Lapidus, AMS lapidus@math.ucr.edu
Hortensia Soto, MAA hortensia.soto@unco.edu

• Friday January 17, 2020, 8:00 a.m.-10:50 a.m.
  AMS Special Session on Stochastic Analysis and Applications in Finance, Actuarial Science and Related Fields, I
  Room 107, Meeting Room Level, Colorado Convention Center
  Organizers:
  Julius N. Esunge, University of Mary Washington jesunge@umw.edu
  See Keong Lee, Universiti Sains Malaysia
  Aurel I. Stan, The Ohio State University
  

  • 8:00 a.m.
    Refinement of the Barndorff-Nielsen and Shephard model with machine learning: analysis of various price indices.
    Indranil SenGupta*, North Dakota State University
    (1154-60-86)
  • 8:30 a.m.
    Pricing Variance Swaps for the Discrete BN-S Model.
    Semere Gebresilasie*, Wentworth Institute of Technology
    (1154-60-1916)
  • 9:00 a.m.
    Real Options with the General Investment Cost.
    Subas Acharya*, University of Texas at Dallas
    Alain Bensoussan, University of Texas at Dallas
    Dmitry Rachinskiy, University of Texas at Dallas
    Alejandro Rivera, University of Texas at Dallas
    (1154-35-2583)
  • 9:30 a.m.
    Hidden Markov Model for Weather Forecast.
    Nguyet Nguyen*, Youngstown State University, Ohio
    Paa Kwesi Mensah, Progressive Insurance, Cleveland Ohio
    (1154-60-2097)
  • 10:00 a.m.
    An Optimal Portfolio Control Problem.
    Serges Love Teutu Talla*, Morgan State University
    Isabelle Kemajou-Brown, Morgan State University
    (1154-60-1204)
  • 10:30 a.m.
    Long-Term Bayesian Analysis of Stock and Bond Markets.
    Andrey Sarantsev*, University of Nevada in Reno
    Taran Grove, University of Nevada in Reno
    Akram Reshad, University of Nevada in Reno
    (1154-62-1699)
• Friday January 17, 2020, 1:00 p.m.-5:50 p.m.
  AMS Special Session on Stochastic Analysis and Applications in Finance, Actuarial Science and Related Fields, II
  Room 107, Meeting Room Level, Colorado Convention Center
  Organizers:
  Julius N. Esunge, University of Mary Washington jesunge@umw.edu
  See Keong Lee, Universiti Sains Malaysia
  Aurel I. Stan, The Ohio State University
  

  • 1:00 p.m.
    A Time-lagged Penalized Regression Model and Applications to Economic Modeling.
    Mingwei Sun*, Samford University
    Patrick Wang, University of Alabama
    (1154-62-1865)
  • 1:30 p.m.
    TALK CANCELLED:Dynamically Adoptive Mahalanobis Based k-Nearest Neighbor Forecasting in Time Series Data.
    Vindya Kumari Pathirana*, University of Connecticut
    (1154-62-2460)
  • 2:00 p.m.
    TALK CANCELLED:Dynamic Contagion in a Banking System.
    Andrey Sarantsev*, University of Nevada in Reno
    Tomoyuki Ichiba, University of California in Santa Barbara
    Michael Ludkovski, University of California in Santa Barbara
    (1154-60-1690)
  • 2:30 p.m.
    Hypothesis Testing of Lévy Processes from Two Streams of Data.
    Michael Roberts*, North Dakota State University
    (1154-60-90)
  • 3:00 p.m.
    Exponential inequalities for exit times of stochastic Navier-Stokes equations.
    Po-Han Hsu*, Louisiana State University
    Padmanabhan Sundar, Louisiana State University
    (1154-60-980)
  • 3:30 p.m.
    Stochastic Differential Equations with Anticipating Initial Conditions.
    Hui-Hsiung Kuo, Louisiana State University
    Sudip Sinha*, Louisiana State University
    Jiayu Zhai, University of Massachusetts Amherst, Amherst
    (1154-60-1474)
  • 4:00 p.m.
    The Volatility Change-Point Problem for Diffusion Processes.
    Cory Ball*, Florida Atlantic University
    Hongwei Long, Florida Atlantic University
    (1154-60-203)
  • 4:30 p.m.
    Quasi-Limiting Behavior of a Drifted Brownian Process.
    SangJoon Lee*, University of Connecticut
    (1154-60-2264)
  • 5:00 p.m.
    Switching Stochastic Approximation and Applications to Networked Systems.
    George Yin, Wayne State University
    Le Yi Wang, Wayne State University
    Thu Thi Le Nguyen*, Wayne State University
    (1154-60-2695)
  • 5:30 p.m.
    Risk Sensitive Markov Regime-switching Portfolio Optimization with Partial Information.
    Isabelle Kemajou-Brown*, Morgan State University
    (1154-60-1218)