Speaker: Mykhaylo Shkolnikov, Princeton University
ABSTRACT
The talk will give an overview of stochastic portfolio theory which is a recently emerged field of mathematical finance. The main goal of this field is a detailed study of portfolio performance in equity markets. Such study leads to novel mathematical questions on stochastic analysis, interacting particle systems, concentration of measure and nonlinear partial differential equations among others.
The talk will be based on joint works with Amir Dembo, Tomoyuki Ichiba, Ioannis Karatzas, Soumik Pal, Srinivasa Varadhan and Ofer Zeitouni.