Tuesday, June 8, 2010

Stochastic control fest ends

Nizar Touzi concluded his graduate course today. For the past 6 weeks he delivered an intense and comprehensive exposition of stochastic control, dynamic programming, HJB equations, viscosity solutions, BSDEs, and their applications to finance, complete with guest lectures by Bruno Bouchard, Agnes Tourin and Mete Soner.

Several admin distractions (including a trip to Paris) prevented me from attending the lectures, but I look forward to the monograph that Fields will publish based on his lecture notes.

ps: we also had a celebratory barbecue for all thematic program participants, successfully put together by the Social Activities Committee - Walid Mnif and Arash Fahim. Thank you guys.

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