the Laboratoire de Mathématiques(LAMA) atUniversité Savoie Mont Blanc is organizing the 9th International Symposium on Backward Stochastic Differential Equations and Mean Field Systems (BSDE) from June 27 to July 1, 2022 at Annecy le vieux (IAE), and its summer school on Sunday June 26 at IAE Savoie Mont Blanc.
This conference was originally scheduled for June 2020. The health crisis has led us to postpone it.
General presentation of the event:
Background. The 9th International Symposium on Backward Stochastic Differential Equations and Mean Field Systems brings together researchers from all over the world to discuss promising topics in probability and stochastic analysis in particular: Backward Stochastic Differential Equations (BSDE) and Mean Field Systems. EDSRs, introduced by Étienne Pardoux and Shige Peng (member of the Chinese Academy of Sciences) in the 90s, have numerous applications in finance, developed in particular by Nicole El Karoui. The same is true of mean-field games, whose first results date back to the work of Jean-Michel Lasry and Pierre-Louis Lions (Fields Medal winner in 1994). This conference is one of several organized every 3 years around the theme of EDSR. For example, the last three conferences were held in Edinburgh (Scotland) in 2017, Shandong (China) in 2014 and Los Angeles (USA) in 2011.
Philippe Briand and Céline Labart, members of the LAboratoire de MAthématiques (LAMA) at USMB, and Paul-Eric Chaudru de Raynal, member of the Laboratoire de Mathématiques Jean Leray at the Université de Nantes, all three specialists in these themes, propose to organize the 9th conference on EDSR and medium-field systems in Annecy, on the premises of IAE Savoie Mont Blanc, from June 27 to July 01, 2022. The conference will also include a summer school for doctoral students on Sunday June 26, as well as a half-day dedicated to the use of EDSR and mean-field systems in industry, through the invitation of practitioners (bankers, R&D engineers). These conferences usually attract 200 participants. Given the uncertainties linked to the health crisis, we are expecting 150 participants.
Scientific description. Since the first theoretical results were obtained in the early 90s, EDSRs have continued to develop. Their applications in the fields of partial differential equations, finance and stochastic control are numerous. The first work on mean-field interaction systems dates back to the 60s. Introduced by Kac for kinetic theory, and given mathematical form by McKean, these systems are today the subject of a veritable craze in the community, notably because of their applications to the problem of controlling large interacting populations or to medium-field game theory (neural networks in biology, macroeconomics, economic behavior of interacting agents), to financial modeling (the phenomenon of uncertain volatility) and to the study of artificial intelligence algorithms involving deep learning methods. The two themes are closely linked, since interacting mean-field systems appear, in particular in the above-mentioned cases, in the form of systems of mean-field stochastic backward differential equations, or McKean-Vlasov type systems. These SRDEs generalize the previous ones insofar as they involve the law of the process in the dynamics of the equation. Recent advances in this (broader) class of equations are the focus of this conference.
Main objectives of the conference and summer school.
- To enable active members of the community to exchange ideas and present recent advances in the areas described above.
- Describe new applications for these systems, in particular through the organization of a half-day session with researchers from industry.
- Promoting interaction between academic and industrial researchers
- Enable doctoral students and young researchers to familiarize themselves with particularly dynamic themes, from an academic or industrial point of view, by organizing a summer school prior to the conference.
Conference format. The conference includes: 5 one-hour plenary lectures, 8 30-minute guest lectures, 12 guest sessions (in parallel by groups of 3) each comprising 3 30-minute presentations, 15 sessions (in parallel by groups of 3) resulting from a call for papers. Tuesday (June 28, 2022) will be dedicated to the thematic opening of the conference: in the morning, there will be two talks (one plenary and one invited) on the theme of medium-field games, while the afternoon will be devoted to industrial applications with a plenary talk and three invited talks. A provisional program is attached.
Scientific Committee. The BSDE2022 conference program committee brings together international experts in the field. They are responsible for selecting plenary and invited speakers (academic and industrial), and for reviewing submitted papers (special sessions have been initiated by the organizing committee). The committee, which reflects the international character of the conference, is made up of the following scientists:
- Dirk Becherer - University of Humbolt, Germany
- Rainer Buckdahn - University of Bretagne Occidentale, France
- François Delarue - University of Nice-Sophia Antipolis, France
- Giulia Di Nunno - University of Oslo, Norway
- Goncalo Dos Reis - University of Edinburgh, Scotland
- Monique Jeanblanc - University of Evry Val d'Essonne, France
- Shige Peng - Shandong University, China
- Mete Soner - ETH Zürich, Switzerland
- Shanjian Tang - Fudan University, China
- Gianmario Tessitore - University of Milano-Bicocca, Italy
- Nizar Touzi - Ecole Polytechnique, France
- Jiongmin Yong - University of Central Florida, USA
- Jianfeng Zhang - University of Southern California, USA